Anastasia Topalova

FERI Trust GmbH

Senior Asset Allocation Analyst

Rathausplatz 8-10

Bad Homburg v.d.H, 61348

Germany

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Scholarly Papers (1)

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Extending the Risk Parity Approach to Higher Moments: Is There Any Value-Added?

The Journal of Portfolio Management, Vol. 43, No. 2 (2017), pp. 24-36.
Posted: 01 Nov 2015 Last Revised: 01 Feb 2017
Eduard Baitinger, André Dragosch and Anastasia Topalova
FERI Trust GmbH, FERI Trust GmbH and FERI Trust GmbH

Abstract:

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Risk Parity, Higher Moments, Tail Risk, Portfolio Optimization, Certainty Equivalent Return, Quantitative Asset Allocation, Out-of-Sample Study, Normal-inverse Gaussian Distribution