Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 11 of 11 for “"Risk parity"”.
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Advances in Risk Parity Portfolio Optimization
Risk parity is an asset allocation strategy that seeks to equalize the risk contributions of the constituent assets in a portfolio. The resulting portfolio is fully diversified from a risk perspective. However, like other asset allocation strategies, risk parity is susceptible to estimation errors. …
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Risk parity as an asset allocation technique: evidence from South African capital markets
… the asset allocation technique known as Risk Parity, whereby assets are allocated such that they contribute equal amounts of risk to the overall risk of the portfolio. It is a relatively new technique and one which has grown in popularity and stature amongst Hedge Fund and asset managers …
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Risk parity and other risk based portfolio allocation approaches in South African and international equity markets
Risk parity, a portfolio allocation technique based on the equalization of constituent risk contributions, has garnered significant attention in academic circles over the past decade. This study employs back-tests to explore the empirical performance of the approach relative to other prominent …
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Optimal portfolio choice : beyond the traditional expected utility maximization paradigm
… approach and the heuristic approach based on risk budgeting. The main results from mean-variance are reviewed, as well as some novel results, followed by new contributions in the area of calculating expected functionals of the optimal wealth in a log-normal market. The available theory behind …
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An investigation into South African property unit trusts: do active managers add value to investors?
… 2018. Fund performance was evaluated using three risk-adjusted measures, namely the Sharpe ratio, information ratio and Jensen's alpha, in order to determine whether there is significant outperformance amongst the funds. The benchmark used to compare performance was the South African Listed …
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Sequence of return risk in South African post-retirement portfolios: the effectiveness of volatility-focused asset allocation strategies to address sequence and associated risks
Sequence of return risk (which is the risk of unfavourable investment outcomes at the most unfavourable time) is an important consideration for efficiently funding retirement portfolio spending goals. This study examines the sensitivity of retirement decumulation portfolios to sequence of return …
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The construction of optimal socially responsible investment portfolios in South Africa using traditional and artificial intelligence techniques
… SRI portfolios can introduce estimation risks, increasing the uncertainty of the input parameters and reducing diversification compared to non-SRI portfolios. This study evaluates six portfolio construction methods for SRI portfolios in South Africa, including traditional (mean variance, …
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Beyond real estate : examining global real asset allocation frameworks for institutional investors
… institutional investors against inflation risk. It is a typical real asset due to the physical form and fixed geographic location with a steady return. However, real estate has its limitations. Risks associated with it such as lack of trading flexibility, special property management …
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Exploring optimal mixed-asset portfolio allocation : hedge funds and private equity vs. real assets
… alone are often not able to satisfy the various risk and return objectives that institutional investors seek in their portfolios. Amid this challenging investment environment, investors around the world are seeking new investment strategies to lessen their reliance on those traditional asset …
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Portfolio diversification utilising rolling economic drawdown constraints and risk factor analysis
… benefits while still seeking to maximise risk adjusted and overall return. This will have strong implications for investors as it could provide an additional method and tool to be considered during the asset allocation decision stage if they have a strong drawdown aversion. The concept of …
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Machine Learning Asset Allocation
… problema de optimización llamado Hierarchical Risk Parity (HRP). El enfoque de HRP utiliza Machine Learning y teoría de grafos para construir un portafolio diversificado basado en la información contenida en la matriz de covarianza de los activos. El HRP se construye mediante la metodología de …