Decoding the quality factor - risk premia in asset allocation: risk parity

Detalhes bibliográficos
Autor(a) principal: Linz, Pascal
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/140579
Resumo: The following paper is an additional element of the collective work “Decoding the Quality Factor”. The purpose of this additional paper is to create a "market neutral" portfolio that follows the risk parity strategy. This means an asset allocation that is based on the risk contribution of the individual assets to the total risk of the portfolio. For this purpose, we created proxies for global factor risk premia based on which we created the risk parity portfolio and a fixed weighted portfolio for comparison and additional two portfolios using factor indices to allow further comparisons. The findings from our analyses show that the use of risk parity strategy has a better risk-return profile.
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spelling Decoding the quality factor - risk premia in asset allocation: risk parityAsset pricingFinancial marketsAsset managementAsset allocationRisk parityRisk premiaPortfolio optimizationDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe following paper is an additional element of the collective work “Decoding the Quality Factor”. The purpose of this additional paper is to create a "market neutral" portfolio that follows the risk parity strategy. This means an asset allocation that is based on the risk contribution of the individual assets to the total risk of the portfolio. For this purpose, we created proxies for global factor risk premia based on which we created the risk parity portfolio and a fixed weighted portfolio for comparison and additional two portfolios using factor indices to allow further comparisons. The findings from our analyses show that the use of risk parity strategy has a better risk-return profile.Ottonello, GiorgioRUNLinz, Pascal2022-01-122021-12-172025-12-17T00:00:00Z2022-01-12T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/140579TID:202973212enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:17:45Zoai:run.unl.pt:10362/140579Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:49:43.571818Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Decoding the quality factor - risk premia in asset allocation: risk parity
title Decoding the quality factor - risk premia in asset allocation: risk parity
spellingShingle Decoding the quality factor - risk premia in asset allocation: risk parity
Linz, Pascal
Asset pricing
Financial markets
Asset management
Asset allocation
Risk parity
Risk premia
Portfolio optimization
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Decoding the quality factor - risk premia in asset allocation: risk parity
title_full Decoding the quality factor - risk premia in asset allocation: risk parity
title_fullStr Decoding the quality factor - risk premia in asset allocation: risk parity
title_full_unstemmed Decoding the quality factor - risk premia in asset allocation: risk parity
title_sort Decoding the quality factor - risk premia in asset allocation: risk parity
author Linz, Pascal
author_facet Linz, Pascal
author_role author
dc.contributor.none.fl_str_mv Ottonello, Giorgio
RUN
dc.contributor.author.fl_str_mv Linz, Pascal
dc.subject.por.fl_str_mv Asset pricing
Financial markets
Asset management
Asset allocation
Risk parity
Risk premia
Portfolio optimization
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Asset pricing
Financial markets
Asset management
Asset allocation
Risk parity
Risk premia
Portfolio optimization
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The following paper is an additional element of the collective work “Decoding the Quality Factor”. The purpose of this additional paper is to create a "market neutral" portfolio that follows the risk parity strategy. This means an asset allocation that is based on the risk contribution of the individual assets to the total risk of the portfolio. For this purpose, we created proxies for global factor risk premia based on which we created the risk parity portfolio and a fixed weighted portfolio for comparison and additional two portfolios using factor indices to allow further comparisons. The findings from our analyses show that the use of risk parity strategy has a better risk-return profile.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-01-12
2022-01-12T00:00:00Z
2025-12-17T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/140579
TID:202973212
url http://hdl.handle.net/10362/140579
identifier_str_mv TID:202973212
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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