On the properties of equallyweighted risk contributions portfolios Sbastien Maillard Thierry Roncalli Jrme Teiletche First version June This version May Abstract Minimum variance and equallyweighte - PDF document

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On the properties of equallyweighted risk contributions portfolios Sbastien Maillard Thierry Roncalli Jrme Teiletche First version June   This version May  Abstract Minimum variance and equallyweighte
On the properties of equallyweighted risk contributions portfolios Sbastien Maillard Thierry Roncalli Jrme Teiletche First version June   This version May  Abstract Minimum variance and equallyweighte

On the properties of equallyweighted risk contributions portfolios Sbastien Maillard Thierry Roncalli Jrme Teiletche First version June This version May Abstract Minimum variance and equallyweighte - Description


In this paper we consider a related approach where the risk contribution from each portfolio components is made equal which maxi mizes diversication of risk at least on an exante basis Roughly speaking the resulting portfolio is similar to a minimum ID: 4721 Download Pdf

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