Domenico Mignacca

Qatar Investment Authority

Executive Director Investment Risk

doha

Qatar

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.

Equally Diversified or Equally Weighted?

Number of pages: 22 Posted: 09 Jul 2020
Gianluca Fusai, Domenico Mignacca, Andrea Nardon and Ben Human
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, Qatar Investment Authority, Sarasin & Partners LLP and Sarasin & Partners
Downloads 474 (78,757)

Abstract:

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Diversification Measure, Portfolio Allocation, Risk Contribution, Euler decomposition

2.

Incremental Volatility and Related Portfolio Analytics

Number of pages: 20 Posted: 14 Jul 2021
Domenico Mignacca and Gianluca Fusai
Qatar Investment Authority and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 155 (245,004)

Abstract:

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Incremental Volatility, Marginal Volatility, Hot Spot, Best Hedge

3.

A New Measure of Diversification: The M-DiX

Number of pages: 13 Posted: 17 May 2018
Domenico Mignacca
Qatar Investment Authority
Downloads 145 (258,738)

Abstract:

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Diversification, Multidimensional Risk Decomposition, Factor Model

4.

M-SD3 Model: A Multi-Dimensional Risk Decomposition

Number of pages: 16 Posted: 17 May 2018
Domenico Mignacca
Qatar Investment Authority
Downloads 108 (321,620)

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Multidimensional Risk Decomposition, Factor Model