Portfolio Construction Techniques Applied to Traditional Multi Asset Portfolios
Author | : Marc Boettinger |
Publisher | : |
Total Pages | : 17 |
Release | : 2019 |
ISBN-10 | : OCLC:1304253869 |
ISBN-13 | : |
Rating | : 4/5 (69 Downloads) |
Download or read book Portfolio Construction Techniques Applied to Traditional Multi Asset Portfolios written by Marc Boettinger and published by . This book was released on 2019 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we describe the history of different portfolio construction approaches from a simple Risk Parity approach and its extension Equal Risk Contribution over Markovitz mean-variance to conditional Value-at-Risk and others like minimum Value-at-Risk or Average Drawdown. We implement the portfolio construction methodologies in Python and estimate a set of risk and performance metrics. We apply the approaches on a traditional multi asset portfolio and empirically show that a particular approach dominates the others in most metrics.