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

See all articles by David Ardia

David Ardia

HEC Montreal - Department of Decision Sciences

Kris Boudt

Ghent University; Vrije Universiteit Brussel; Vrije Universiteit Amsterdam

Giang Nguyen

Vrije Universiteit Brussel (VUB)

Date Written: December 25, 2017

Abstract

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

Ardia, David and Boudt, Kris and Nguyen, Giang, Web Appendix to 'Beyond Risk-Based Portfolios: Balancing Performance and Risk Contributions in Asset Allocation' (December 25, 2017). Available at SSRN: https://ssrn.com/abstract=3093065 or http://dx.doi.org/10.2139/ssrn.3093065

David Ardia

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

Kris Boudt

Ghent University ( email )

Sint-Pietersplein 5
Gent, 9000
Belgium

Vrije Universiteit Brussel ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Vrije Universiteit Amsterdam ( email )

De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands

Giang Nguyen (Contact Author)

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

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