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Article

Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions

Lionel Martellini and Vincent Milhau
The Journal of Portfolio Management Multi-Asset Special Issue 2018, 44 (2) 8-22; DOI: https://doi.org/10.3905/jpm.2018.44.2.008
Lionel Martellini
is a professor of finance at EDHEC Business School and the director of EDHEC-Risk Institute in Nice, France
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Vincent Milhau
is a research director at EDHEC-Risk Institute in Nice, France
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Abstract

Multi-asset investment solutions have become increasingly popular among sophisticated institutional investors focusing on efficient harvesting of risk premia across and within asset classes. One key challenge in the construction of diversified multi-asset portfolio strategies is that even a seemingly well-balanced allocation to many asset classes can eventually translate into a portfolio with a very concentrated set of underlying risk exposures. The authors suggest using a factor-based framework to more effectively measure and manage diversification in multi-asset portfolios.

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The Journal of Portfolio Management: 44 (2)
The Journal of Portfolio Management
Vol. 44, Issue 2
Multi-Asset Special Issue 2018
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Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions
Lionel Martellini, Vincent Milhau
The Journal of Portfolio Management Dec 2017, 44 (2) 8-22; DOI: 10.3905/jpm.2018.44.2.008

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Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions
Lionel Martellini, Vincent Milhau
The Journal of Portfolio Management Dec 2017, 44 (2) 8-22; DOI: 10.3905/jpm.2018.44.2.008
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  • Article
    • Abstract
    • FACTORS IN MULTI-ASSET PORTFOLIOS
    • MEASURING DIVERSIFICATION FOR MULTI-ASSET PORTFOLIOS
    • MANAGING DIVERSIFICATION FOR MULTI-ASSET PORTFOLIOS
    • CONCLUSIONS AND PERSPECTIVES
    • APPENDIX A
    • APPENDIX B
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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