Matches in SemOpenAlex for { <https://semopenalex.org/work/W3121166937> ?p ?o ?g. }
Showing items 1 to 72 of
72
with 100 items per page.
- W3121166937 abstract "For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom correlation and standard deviation estimators consider normal distribution of returns and market efficiency hypothesis. It forced investors to search more universal instruments of tail risk protection. One of the possible solutions is a naive risk parity strategy, which avoids estimation of expected returns and correlations. The authors develop the idea further and propose a fractal distribution of returns as a core. This class of distributions is more general as it does not imply strict limitations on risk evolution. The proposed model allows for modifying a rule for volatility estimation, thus, enhancing its explanatory power. It turns out that the latter improves the performance metrics of an investment portfolio over the ten year period. The fractal model of volatility plays a significant protective role during the periods of market abnormal drawdowns. Consequently, it may be useful for a wide range of asset managers which incorporate innovative risk models into globally allocated portfolios." @default.
- W3121166937 created "2021-02-01" @default.
- W3121166937 creator A5005138645 @default.
- W3121166937 creator A5011819558 @default.
- W3121166937 date "2017-03-20" @default.
- W3121166937 modified "2023-09-27" @default.
- W3121166937 title "Biased Risk Parity with Fractal Model of Risk" @default.
- W3121166937 cites W2031753087 @default.
- W3121166937 cites W2100192096 @default.
- W3121166937 cites W2113987286 @default.
- W3121166937 cites W2182078955 @default.
- W3121166937 cites W3125740310 @default.
- W3121166937 hasPublicationYear "2017" @default.
- W3121166937 type Work @default.
- W3121166937 sameAs 3121166937 @default.
- W3121166937 citedByCount "0" @default.
- W3121166937 crossrefType "posted-content" @default.
- W3121166937 hasAuthorship W3121166937A5005138645 @default.
- W3121166937 hasAuthorship W3121166937A5011819558 @default.
- W3121166937 hasConcept C105795698 @default.
- W3121166937 hasConcept C106159729 @default.
- W3121166937 hasConcept C134306372 @default.
- W3121166937 hasConcept C139819358 @default.
- W3121166937 hasConcept C149782125 @default.
- W3121166937 hasConcept C162324750 @default.
- W3121166937 hasConcept C185429906 @default.
- W3121166937 hasConcept C22679943 @default.
- W3121166937 hasConcept C2780821815 @default.
- W3121166937 hasConcept C33923547 @default.
- W3121166937 hasConcept C40636538 @default.
- W3121166937 hasConcept C73858035 @default.
- W3121166937 hasConcept C91602232 @default.
- W3121166937 hasConceptScore W3121166937C105795698 @default.
- W3121166937 hasConceptScore W3121166937C106159729 @default.
- W3121166937 hasConceptScore W3121166937C134306372 @default.
- W3121166937 hasConceptScore W3121166937C139819358 @default.
- W3121166937 hasConceptScore W3121166937C149782125 @default.
- W3121166937 hasConceptScore W3121166937C162324750 @default.
- W3121166937 hasConceptScore W3121166937C185429906 @default.
- W3121166937 hasConceptScore W3121166937C22679943 @default.
- W3121166937 hasConceptScore W3121166937C2780821815 @default.
- W3121166937 hasConceptScore W3121166937C33923547 @default.
- W3121166937 hasConceptScore W3121166937C40636538 @default.
- W3121166937 hasConceptScore W3121166937C73858035 @default.
- W3121166937 hasConceptScore W3121166937C91602232 @default.
- W3121166937 hasLocation W31211669371 @default.
- W3121166937 hasOpenAccess W3121166937 @default.
- W3121166937 hasPrimaryLocation W31211669371 @default.
- W3121166937 hasRelatedWork W1487303539 @default.
- W3121166937 hasRelatedWork W1753301273 @default.
- W3121166937 hasRelatedWork W2109427694 @default.
- W3121166937 hasRelatedWork W2184590412 @default.
- W3121166937 hasRelatedWork W2233028580 @default.
- W3121166937 hasRelatedWork W2253374530 @default.
- W3121166937 hasRelatedWork W2300660309 @default.
- W3121166937 hasRelatedWork W2312044414 @default.
- W3121166937 hasRelatedWork W2344020460 @default.
- W3121166937 hasRelatedWork W2435936858 @default.
- W3121166937 hasRelatedWork W2601312402 @default.
- W3121166937 hasRelatedWork W2612603622 @default.
- W3121166937 hasRelatedWork W2902122065 @default.
- W3121166937 hasRelatedWork W2985964053 @default.
- W3121166937 hasRelatedWork W3118964575 @default.
- W3121166937 hasRelatedWork W3121954593 @default.
- W3121166937 hasRelatedWork W3146171257 @default.
- W3121166937 hasRelatedWork W48775943 @default.
- W3121166937 hasRelatedWork W639416 @default.
- W3121166937 hasRelatedWork W3122600785 @default.
- W3121166937 isParatext "false" @default.
- W3121166937 isRetracted "false" @default.
- W3121166937 magId "3121166937" @default.
- W3121166937 workType "article" @default.