Risk budgeting and diversification based on optimised uncorrelated factors

Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets


In recent years, finance practitioners and academics have witnessed a surge in interest in two different, yet related, areas: risk budgeting, namely the fair attribution of the total risk of an enterprise to its different business lines (see a review and references in Tasche (2008)); and risk parity, namely investment in strategies that contribute equally to the total risk of the portfolio (see a review and references in Roncalli (2013)).


To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: