Tying allocation to selection

Hamza Bahaji introduces a new approach to core-satellite investing, the compound portfolio insurance


One of the main challenges in core-satellite investing is connecting the downside risk management device of the core to those of the satellites. Hamza Bahaji addresses this by introducing the compound portfolio insurance (CPI) approach. He builds on the idea of a dynamic core-satellite and shows that out-of-sample CPI broadly outperforms the traditional tracking error-based approach

The core-satellite approach to portfolio construction has featured prominently in

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