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The properties of equally-weighted risk contributions portfolios

dc.contributor.authorTeiletche, Jérôme
dc.contributor.authorRoncalli, Thierry
dc.contributor.authorMaillard, Sébastien
dc.date.accessioned2010-07-29T11:24:38Z
dc.date.available2010-07-29T11:24:38Z
dc.date.issued2010
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4688
dc.language.isoenen
dc.subjectAsset allocationen
dc.subjectportfolio constructionen
dc.subjectminimum-varianceen
dc.subjectportfolio diversificationen
dc.subjectrisk budgetingen
dc.subjectrisk contributionsen
dc.subject.ddc332en
dc.subject.classificationjelC60en
dc.subject.classificationjelG11en
dc.titleThe properties of equally-weighted risk contributions portfoliosen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenMinimum variance and equally-weighted portfolios have recently prompted great interest both from academic researchers and market practitioners, as their construction does not rely on expected average returns and is therefore assumed to be robust. In this paper, we consider a related approach, where the risk contribution from each portfolio components is made equal, which maximizes diversication of risk (at least on an ex-ante basis). Roughly speaking,the resulting portfolio is similar to a minimum variance portfolio subject to a diversification constraint on the weights of its components. We derive the theoretical properties of such a portfolio and show that its volatility is located between those of minimum variance and equally-weighted portfolios. Empirical applications confirm that ranking. All in all, equally-weighted risk contributions portfolios appear to be an attractive alternative to minimum variance and equally-weighted portfolios and might be considered a good trade-off between those two approaches in terms of absolute level of risk, risk budgeting and diversificationen
dc.relation.isversionofjnlnameJournal of Portfolio Management
dc.relation.isversionofjnlvol36
dc.relation.isversionofjnlissue4
dc.relation.isversionofjnldate2010
dc.relation.isversionofjnlpages60-70
dc.relation.isversionofdoihttp://dx.doi.org/10.3905/jpm.2010.36.4.06
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherInstitutional Investor Journals
dc.subject.ddclabelEconomie financièreen


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