总结 这本Attilio Meucci的《Risk and Asset Allocation》相较本系列上一本会更偏理论一些,这是因为作者工作性质不同。Attilio Meucci毕竟是职业风控出身。不过相同的一点是,两者都是各自领域的大牛,也是真诚地想向世界分享他们的知识。 发布于 2020-09-12 10:01 ...
Meucci, "Risk parity and beyond- from asset allocation to risk allocation decisions," SSRN 2355778, 2013.Deguest, R., Martellini, L. & Meucci, A. (2013). Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions Available at SSRN: https://ssrn.com/abstract=2355778...
The portfolio selection problem can be defined as the optimal allocation of wealth among a finite number of assets that follows careful processing of all available information about both investors and markets (Meucci 2009). Markowitz’s mean-variance model is by far the most popular procedure in ...
Meucci (2009)'s work on diversification across principal component factors provided a clue to re- solving this unfortunate problem by focusing on underlying risk factors. In this paper, we build on this idea and combine it with the risk-budgeting approach of Bruder and Roncalli ∗We thank ...
Dr.AttilioMeucci,CFA PresidentandCEO,GlobalAssociationofRiskProfessionals Founder,ARPM Beck,SMD Dr.VictorNg,CFA,MD ChiefRiskOfficer,TIAAFinancialSolutions ChiefRiskArchitect,MarketRiskManagementandAnalysis, GoldmanSachs OperationalRiskManagement,Citigroup Dr.MatthewPritsker SeniorFinancialEconomistandPolicyAdvisorISupe...
Striving for maximum diversification, we follow Meucci in measuring and managing a multi-asset class portfolio. Under this paradigm, the maximum diversification portfolio is equivalent to a risk parity strategy with respect to the uncorrelated risk sources embedded in the underlying portfolio assets. We...
Deguest, RomainMartellini, LionelMeucci, AttilioJournal of Portfolio Management
(2010); Qian (2006) and Roncalli and Weisang (2016) the Equal Risk Contribution is proposed as the strategy that balances the risk exposure among the assets; in Meucci (2009) the author proposes to use principal component analysis to extract uncorrelated risk factors and diversify the portfolio...
(2010); Qian (2006) and Roncalli and Weisang (2016) the Equal Risk Contribution is proposed as the strategy that balances the risk exposure among the assets; in Meucci (2009) the author proposes to use principal component analysis to extract uncorrelated risk factors and diversify the portfo- ...
(2014). Discount rates, market frictions, and the mystery of the size premium. Ph.D. thesis, University of Southern Denmark. Deguest, R., Martellini, L., & Meucci, A. (2013). Risk parity and beyond—From asset allocation to risk allocation decisions. SSRN: http://ssrn.com/abstract=...