RECHERCHE ET PUBLICATIONS

PREDICTING AND DECOMPOSING THE RISK OF DATA-DRIVEN PORTFOLIOS

Sophisticated algorithmic techniques are complementing human judgement across the fund industry. Whatever the type of rebalancing that occurs in the course of a longer horizon, it probably violates ...

Auteur(s) :

Nabil Bouamara

Kris Boudt

Sophisticated algorithmic techniques are complementing human judgement across the fund industry. Whatever the type of rebalancing that occurs in the course of a longer horizon, it probably violates the buy-and-hold assumption. In this article, authors develop the methodology to predict, dissect and interpret the h-day financial risk in data-driven portfolios. Their risk budgeting approach is based on a flexible risk factor model that accommodates the dynamics in portfolio composition directly within the risk factors. Once these factors are defined, they cast portfolio risk measures, such as value-at-risk, into an additive mean-variance-skewness-kurtosis format. The simulation study confirms the gains in accuracy compared to the widespread square-root-of-time rule. Their main empirical findings rely on the two-decade performance of a portfolio insurance investment strategy. Rather than looking at total portfolio risk, they conclude that it is more informative to look inside the portfolio.

Type : Publication EDHEC
Date : le 08/03/2020
Pôle de recherche Finance

A voir également

Le cinéma éco-responsable : trouver l’équilibre entre le beau et le durable
Actualités
- 26-07-2022
Jimmy Cournil, étudiant du programme Grande École et ancien président ETNA EDHEC...
Classement SIGEM 2022 : l’EDHEC n°4 en France renforce son attractivité auprès des étudiants
Actualités
- 22-07-2022
L’EDHEC confirme sa place parmi les quatre meilleures Ecoles de Management en France...
L’hybridation des compétences : des profils dont le monde a besoin
Actualités
- 20-07-2022
Tristan-Pierre Maury enseigne l’économie dans le cadre du PGE de l’EDHEC. Il est...
Bristol Myers Squibb et l'EDHEC Business School créent une chaire de recherche conjointe pour relever le défi de la révolution numérique en santé
Actualités
- 18-07-2022
Bristol Myers Squibb et l'EDHEC Business School annoncent la signature d'un partenariat...