Sökning: "Tail-risk parity"

Hittade 2 uppsatser innehållade orden Tail-risk parity.

1. 1. Hierarchical Clustering To Improve Portfolio Tail Risk Characteristics

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Adam Eidenvall; [2021]
   Nyckelord :Hierarchical Clustering; Asset Allocation; Portfolio Construction; Graph Theory; Machine Learning; Risk Parity; Regime Shift; Bootstrapping; Walk Forward; Mathematics and Statistics;

   Sammanfattning : Many agree that estimating portfolio risks has better estimation possibilities, than estimations on returns. Therefore investors attempts to construct better, more efficient riskmanaged portfolios by diversifying portfolios through factors rather than traditional asset classes. LÄS MER

3. 2. Comparing Risk Parity Portfolios Does a Tail-Risk Parity strategy provide better downside protection than the Risk Parity strategy during economic crisis?

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Jesper Johansson; Mirza Omer; [2021]
   Nyckelord :Tail-risk parity; Risk parity; Expected Shortfall; Weight budgeting; Risk budgeting; Capital Allocation; Risk Contribution; Business and Economics;

   Sammanfattning : This thesis evaluates the risk parity and tail-risk parity approach against conventional weight budgeting approach. The risk parity and tail-risk parity approach, in contrast to weight budgeting approach, is about distributing the risk between the asset classes in the portfolio. LÄS MER