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dc.contributor.authorMorel, Christophe
dc.contributor.authorMichel, Thierry
dc.contributor.authorMichel, Laurent
HAL ID: 7946
ORCID: 0000-0003-4164-2432
dc.date.accessioned2011-04-08T12:35:26Z
dc.date.available2011-04-08T12:35:26Z
dc.date.issued2010
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5954
dc.language.isoenen
dc.subjectasset allocationen
dc.subjectrebalancing strategyen
dc.subjectvolatilityen
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.subject.classificationjelG15en
dc.titleA Volatility-Driven Asset Allocation (VDAA)en
dc.typeDocument de travail / Working paper
dc.description.abstractenThis article advocates a systematic rebalancing process –Volatility-Driven Asset Allocation or VDAA – for dynamically managing the strategic asset allocation. The goal of the suggested algorithm is to adjust the asset exposures so as to reflect the assumptions investors used when determining their strategic allocation, in terms of balance between risk contributions and expected returns. Such an idea makes sense from the economic point of view of a risk-adverse investor who wishes to achieve a smooth long-run performance. The stable risk contribution is determined by a long-run target, with short-term deviations from this target driving the rebalancing of the portfolio exposure. Rebalancing between asset classes allows smoothing the global volatility of the portfolio by decreasing exposure in asset classes yielding temporarily higher risk contributions and by increasing weight in asset classes with temporarily lower risk contributions. Both our backtests and robustness study demonstrate that this risk rebalancing strategy is superior in terms of information ratio to traditional rebalancing rules.en
dc.publisher.nameUniversité Paris-Dauphine
dc.publisher.cityParis
dc.identifier.citationpages19en
dc.relation.ispartofseriestitleCAHIER DE RECHERCHE DE DRMen
dc.relation.ispartofseriesnumberN° 2010-13en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen


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