Post date: 05-May-2014 10:16:42
Giovedì 15 Maggio 2014, ore 12.15, Sala Riunioni primo Piano
Relatore: Dott. Santangelo Alberto
Titolo: Measuring Portfolio Diversification Based on Optimized Uncorrelated Factors
Abstract:
We measure diversification in terms of the "Effective Number of Minimum-Torsion Bets", namely a set of uncorrelated factors, optimized to closely track the factors used to allocate the portfolio. This way we introduce a novel notion of "absolute risk contributions", which generalizes the "marginal contributions to risk" in traditional risk parity. We discuss the advantages of the Minimum-Torsion Bets over the traditional approach to diversification based on marginal contributions to risk. We present a case study in the S&P 500. Fully documented code is available for download.
Co-Autori:
Attilio Meucci - SYMMYS
Romain Deguest - EDHEC Business School
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