Portfolio Construction Techniques Applied To Traditional Multi Asset Portfolios

Download or read book Portfolio Construction Techniques Applied to Traditional Multi Asset Portfolios written by Marc Boettinger and published by . This book was released on 2019 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we describe the history of different portfolio construction approaches from a simple Risk Parity approach and its extension Equal Risk Contribution over Markovitz mean-variance to conditional Value-at-Risk and others like minimum Value-at-Risk or Average Drawdown. We implement the portfolio construction methodologies in Python and estimate a set of risk and performance metrics. We apply the approaches on a traditional multi asset portfolio and empirically show that a particular approach dominates the others in most metrics.