Portfolio optimisation with Equally-weighted risk contributions strategy
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 l...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2009
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| Online Access: | https://eprints.nottingham.ac.uk/23189/ |
| _version_ | 1848792527023374336 |
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| author | Kladnik, Tina |
| author_facet | Kladnik, Tina |
| author_sort | Kladnik, Tina |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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). |
| first_indexed | 2025-11-14T18:45:49Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-23189 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:45:49Z |
| publishDate | 2009 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-231892018-02-15T17:15:10Z https://eprints.nottingham.ac.uk/23189/ Portfolio optimisation with Equally-weighted risk contributions strategy Kladnik, Tina 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). 2009 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/23189/1/Tina_Kladnik_Dissertation_Final_Document.pdf Kladnik, Tina (2009) Portfolio optimisation with Equally-weighted risk contributions strategy. [Dissertation (University of Nottingham only)] (Unpublished) Equally-weighted Risk Contributions Minimum Variance portfolio mean-variance efficient portfolio Equally-weighted Risk Contributions portfolio optimisation strategies |
| spellingShingle | Equally-weighted Risk Contributions Minimum Variance portfolio mean-variance efficient portfolio Equally-weighted Risk Contributions portfolio optimisation strategies Kladnik, Tina Portfolio optimisation with Equally-weighted risk contributions strategy |
| title | Portfolio optimisation with Equally-weighted risk contributions strategy |
| title_full | Portfolio optimisation with Equally-weighted risk contributions strategy |
| title_fullStr | Portfolio optimisation with Equally-weighted risk contributions strategy |
| title_full_unstemmed | Portfolio optimisation with Equally-weighted risk contributions strategy |
| title_short | Portfolio optimisation with Equally-weighted risk contributions strategy |
| title_sort | portfolio optimisation with equally-weighted risk contributions strategy |
| topic | Equally-weighted Risk Contributions Minimum Variance portfolio mean-variance efficient portfolio Equally-weighted Risk Contributions portfolio optimisation strategies |
| url | https://eprints.nottingham.ac.uk/23189/ |