Portfolio optimisation with Equally-weighted risk contributions strategy

Kladnik, Tina (2009) Portfolio optimisation with Equally-weighted risk contributions strategy. [Dissertation (University of Nottingham only)] (Unpublished)

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Markowitz has lifted portfolio theory to scientific level by introducing mean-variance framework. Minimum Variance portfolio, unique portfolio on the mean-variance efficient portfolio, has attracted a lot of interest as it is independent of returns expectations. However, the approach has plenty of limitations.

Maillard et al (2009) have presented related approach of Equally-weighted Risk Contributions (ERC) portfolio strategy, where risk contributions of the various portfolio components are equalised. In this dissertation, properties of ERC portfolios and their estimation are being closely examined and its performance compared with performance of three other portfolio optimisation strategies (MV, 1/n and passive).

Item Type: Dissertation (University of Nottingham only)
Keywords: Equally-weighted Risk Contributions, Minimum Variance portfolio, mean-variance, efficient portfolio, Equally-weighted Risk Contributions, portfolio optimisation strategies
Depositing User: EP, Services
Date Deposited: 03 Feb 2010 14:48
Last Modified: 12 Sep 2016 16:15
URI: http://eprints.nottingham.ac.uk/id/eprint/23189

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