Robust Portfolio Allocation with Systematic Risk Contribution Restrictions
Darolles, Serge; Gouriéroux, Christian; Jay, Emmanuelle (2012-10), Robust Portfolio Allocation with Systematic Risk Contribution Restrictions. https://basepub.dauphine.fr/handle/123456789/13497
TypeDocument de travail / Working paper
External document linkhttp://dx.doi.org/10.2139/ssrn.2192399
MetadataShow full item record
Abstract (EN)The standard mean-variance approach can imply extreme weights in some assets in the optimal allocation and a lack of stability of this allocation over time. To improve the robustness of the portfolio allocation, but also to better control for the portfolio turnover and the sensitivity of the portfolio to systematic risk, it is proposed in this paper to introduce additional constraints on both the total systematic risk contribution of the portfolio and its turnover. Our paper extends the existing literature on risk parity in three directions: i) we consider other risk criteria than the variance, such as the Value-at-Risk (VaR), or the Expected Shortfall; ii) we manage separately the systematic and idiosyncratic components of the portfolio risk; iii) we introduce a set of portfolio management approaches which control for the degree of market neutrality of the portfolio, for the strength of the constraint on systematic risk contribution and for the turnover.
Subjects / KeywordsAsset Allocation; Portfolio Turnover; Risk Diversification; Minimum Variance Portfolio; Risk Parity Portfolio; Systematic Risk; Euler Allocation; Hedge Fund
Showing items related by title and author.
lq-regularization of the Kalman filter for exogenous outlier removal: application to hedge funds analysis Jay, Emmanuelle; Duvaut, Patrick; Darolles, Serge; Gouriéroux, Christian (2011) Communication / Conférence
lq-regularization of the Kalman ﬁlter for exogenous outlier removal: application to hedge funds analysis Gouriéroux, Christian; Darolles, Serge; Jay, Emmanuelle; Duvaut, Patrick (2011) Communication / Conférence