Utilize este identificador para referenciar este registo: http://hdl.handle.net/10362/15043
Título: Risk parity: True versus naive approach
Autor: Alves, Gonçalo Filipe Abreu
Orientador: Eça, Afonso Fuzeta
Palavras-chave: Risk parity
Equal risk contributions
ERC portfolio
Asset allocation
Data de Defesa: Mai-2014
Resumo: This paper studies the performance of two different Risk Parity strategies, one from Maillard (2008) and a “naïve” that was already used by market practitioners, against traditional strategies. The tests will compare different regions (US, UK, Germany and Japan) since 1991 to 2013, and will use different ways of volatility. The main findings are that Risk Parity outperforms any traditional strategy, and the “true” (by Maillard) has considerable better results than the “naïve” when using historical volatility, while using EWMA there are significant differences.
URI: http://hdl.handle.net/10362/15043
Designação: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
Aparece nas colecções:NSBE: Nova SBE - MA Dissertations

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