Funded courses

For reasons beyond our control, this course is cancelled and will not be rescheduled.

Risk-based Allocation portfolios

  • E. Jurczenko, ESCP Europe, HEC Lausanne and IdR QMI

Objective: Traditional asset allocation methodologies have been severely challenged by the recent financial crisis. Furthermore, they appear of limited usefulness for practitioners as they lead to portfolios which emerge as both biased and non-robust. Risk-driven methods are gaining traction in the investor world. Starting from (seemingly) simple concepts such as diversification and risk budgeting principles, Risk-based investing comes out as a way to achieve more robust portfolios. The objective of this lecture is to give an overview of the underlying notions and tools, to review the theoretical properties of these portfolios and to provide both numerical and empirical applications for practitioners. All applications will be performed using Matlab software and real multi-asset datasets (Equity indexes, individual stocks and commodities).