Risk parity: true versus naive approach
| Autor(a) principal: | |
|---|---|
| Data de Publicação: | 2014 |
| Tipo de documento: | Dissertação |
| Idioma: | eng |
| Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
| Texto Completo: | http://hdl.handle.net/10362/15043 |
Resumo: | This paper studies the performance of two different Risk Parity strategies, one from Maillard (2008) and a “naïve” that was already used by market practitioners, against traditional strategies. The tests will compare different regions (US, UK, Germany and Japan) since 1991 to 2013, and will use different ways of volatility. The main findings are that Risk Parity outperforms any traditional strategy, and the “true” (by Maillard) has considerable better results than the “naïve” when using historical volatility, while using EWMA there are significant differences. |
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Risk parity: true versus naive approachRisk parityEqual risk contributionsERC portfolioAsset allocationThis paper studies the performance of two different Risk Parity strategies, one from Maillard (2008) and a “naïve” that was already used by market practitioners, against traditional strategies. The tests will compare different regions (US, UK, Germany and Japan) since 1991 to 2013, and will use different ways of volatility. The main findings are that Risk Parity outperforms any traditional strategy, and the “true” (by Maillard) has considerable better results than the “naïve” when using historical volatility, while using EWMA there are significant differences.NSBE - UNLEça, Afonso FuzetaRUNAlves, Gonçalo Filipe Abreu2015-06-02T10:36:37Z2014-052014-05-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/15043TID:201474832enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:50:37Zoai:run.unl.pt:10362/15043Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:22:15.196439Repositório 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 |
Risk parity: true versus naive approach |
| title |
Risk parity: true versus naive approach |
| spellingShingle |
Risk parity: true versus naive approach Alves, Gonçalo Filipe Abreu Risk parity Equal risk contributions ERC portfolio Asset allocation |
| title_short |
Risk parity: true versus naive approach |
| title_full |
Risk parity: true versus naive approach |
| title_fullStr |
Risk parity: true versus naive approach |
| title_full_unstemmed |
Risk parity: true versus naive approach |
| title_sort |
Risk parity: true versus naive approach |
| author |
Alves, Gonçalo Filipe Abreu |
| author_facet |
Alves, Gonçalo Filipe Abreu |
| author_role |
author |
| dc.contributor.none.fl_str_mv |
Eça, Afonso Fuzeta RUN |
| dc.contributor.author.fl_str_mv |
Alves, Gonçalo Filipe Abreu |
| dc.subject.por.fl_str_mv |
Risk parity Equal risk contributions ERC portfolio Asset allocation |
| topic |
Risk parity Equal risk contributions ERC portfolio Asset allocation |
| description |
This paper studies the performance of two different Risk Parity strategies, one from Maillard (2008) and a “naïve” that was already used by market practitioners, against traditional strategies. The tests will compare different regions (US, UK, Germany and Japan) since 1991 to 2013, and will use different ways of volatility. The main findings are that Risk Parity outperforms any traditional strategy, and the “true” (by Maillard) has considerable better results than the “naïve” when using historical volatility, while using EWMA there are significant differences. |
| publishDate |
2014 |
| dc.date.none.fl_str_mv |
2014-05 2014-05-01T00:00:00Z 2015-06-02T10:36:37Z |
| dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
| dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
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masterThesis |
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publishedVersion |
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http://hdl.handle.net/10362/15043 TID:201474832 |
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http://hdl.handle.net/10362/15043 |
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TID:201474832 |
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eng |
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eng |
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info:eu-repo/semantics/openAccess |
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openAccess |
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application/pdf |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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