Robust Portfolio Allocation with Systematic Risk Contribution Restrictions
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Cited by:
- Eric Benhamou & Beatrice Guez, 2018.
"Incremental Sharpe and other performance ratios,"
Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 7(4), pages 1-2.
- Eric Benhamou & Beatrice Guez, 2018. "Incremental Sharpe and other performance ratios," Papers 1807.09864, arXiv.org, revised Dec 2018.
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- Simon Trimborn & Mingyang Li & Wolfgang Karl Härdle, 2020.
"Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach,"
Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 280-306.
- Trimborn, Simon & Li, Mingyang & Härdle, Wolfgang Karl, 2017. "Investing with cryptocurrencies - A liquidity constrained investment approach," SFB 649 Discussion Papers 2017-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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- Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe De Peretti & Christophe Chorro, 2019. "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Documents de travail du Centre d'Economie de la Sorbonne 19022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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More about this item
Keywords
Asset Allocation; Portfolio Turnover; Risk Diversification; Minimum Variance Portfolio; Risk Parity Portfolio; Systematic Risk; Euler Allocation; Hedge Fund;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2013-06-04 (Banking)
- NEP-RMG-2013-06-04 (Risk Management)
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