General sparse risk parity portfolio design via successive convex optimization

L Wu, Y Feng, DP Palomar - Signal Processing, 2020 - Elsevier
Since the 2008 financial crisis, risk management has become more important and portfolio
approaches, such as the minimum-variance and equally weighted portfolios, have gained …

The liability market value as benchmark in pension fund performance measurement

L Bolla, H Wittig, A Kohler - Journal of Pension Economics & Finance, 2016 - cambridge.org
Often performance of pension funds is assessed based on the development of the assets
only, neglecting the simultaneous development of the liabilities. This especially is the case …

The role of correlation in risk profile portfolios

J Vandenbroucke - Journal of Asset Management, 2017 - Springer
This article unravels the fundamentally different roles of correlation when building risk-based
portfolios by means of either risk control or risk contribution. We focus on the case of a …

Taking the right course navigating the ERC universe

R Savona, C Orsini - Journal of Asset Management, 2019 - Springer
We study the equal risk contribution (ERC) investment strategies exploring how these
portfolios perform relative to traditional risk-only (minimum variance portfolio), risk–return …

[PDF][PDF] Harvesting Volatility in Crypto Markets: Effects of Portfolio Rebalancing in a High-Volatility Environment

S Plachel - 2019 - justools.ch
Portfolios of risky assets which are rebalanced according to a rule set are known to
outperform corresponding buy-and-hold portfolios if volatility is high and correlations …

[PDF][PDF] Rebalancing strategy analysis on three types of stock portfolios (LQ45, construction, and consumption) in Indonesia for the 2006–2015 period

B Jesslyn, DA Chalid - Competition and Cooperation in …, 2017 - library.oapen.org
This study aims to analyse the rebalancing strategy towards three types of stock portfolios (ie
LQ45 index, Property, Housing, and Construction sectoral index, and Consumption sectoral …

[PDF][PDF] Part I The Liability Market Value as Benchmark in Pension Fund Performance Measurement

L Bolla, A Kohler, H Wittig - Essays on Asset Management …, 2015 - e-helvetica.nb.admin.ch
Often performance of pension funds is assessed based on the development of the assets
only, neglecting the simultaneous development of the liabilities. This especially is the case …