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Robust Portfolio Allocation with Systematic Risk Contribution Restrictions

dc.contributor.authorDarolles, Serge
dc.contributor.authorGouriéroux, Christian
dc.contributor.authorJay, Emmanuelle
dc.date.accessioned2014-06-17T14:08:36Z
dc.date.available2014-06-17T14:08:36Z
dc.date.issued2012-10
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13497
dc.language.isoenen
dc.subjectAsset Allocationen
dc.subjectPortfolio Turnoveren
dc.subjectRisk Diversificationen
dc.subjectMinimum Variance Portfolioen
dc.subjectRisk Parity Portfolioen
dc.subjectSystematic Risken
dc.subjectEuler Allocationen
dc.subjectHedge Funden
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelC23en
dc.titleRobust Portfolio Allocation with Systematic Risk Contribution Restrictionsen
dc.typeDocument de travail / Working paper
dc.contributor.editoruniversityotherUniversity of Toronto;Canada
dc.description.abstractenThe 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.en
dc.identifier.citationpages48en
dc.identifier.urlsitehttp://dx.doi.org/10.2139/ssrn.2192399en
dc.subject.ddclabelEconomie financièreen
dc.description.submittednonen


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