Web Appendix to 'Beyond Risk-Based Portfolios: Balancing Performance and Risk Contributions in Asset Allocation'
14 Pages Posted: 3 Jan 2018 Last revised: 19 Jan 2018
Date Written: December 25, 2017
In the Web Appendix to the paper by Ardia et al. (2017), we provide additional results regarding the implementation and the performance when the PRCC is computed with downside-risk measures. We further test the sensitivity to the value of the bound on the tracking error constraint and discuss extensions of the PRCC implementation using factor risk contributions and downside risk-based portfolios.
Keywords: Asset allocation, Performance/Risk Contribution, Target relative performance portfolio
JEL Classification: C12, C21, C22
Suggested Citation: Suggested Citation