English
Towards Conditional Risk Parity — Improving Risk Budgeting Techniques in Changing Economic Environments.
MARTELLINI Lionel ; MILHAU Vincent ; TARELLI Andrea
2014
104
134.58-MARTE
GESTION DE PORTEFEUILLE ; RISQUE DE MARCHE ; ANALYSE DE PORTEFEUILLE
| N° | Cote | Code barre | Commentaire | |
|---|---|---|---|---|
| 1 | [disponible] | |||
| 2 | [disponible] |
Adresse url : https://www.edhec.edu/fr/publications/towards-conditional-risk-parity-improving-risk-budgeting-techniques-changing-economic
Sommaire : Executive Summary
1. Introduction
2. From Unconditional to Conditional Risk Parity Strategies
3. Implementation of CRP Strategies
4. Benefits of CRP Strategies in Periods of Rising Interest Rates
5. Introducing Commodities
6. Conclusion
Appendices
References
About Lyxor Asset Management
About EDHEC-Risk Institute
EDHEC-Risk Institute Publications and Position Papers (2011-2014)
Langue : Anglais
Collection : PUBLICATION EDHEC
Propriétaire : Bibliothèque