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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

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

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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






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