RT Journal Article
SR Electronic
T1 Proverbial Baskets Are Uncorrelated Risk Factors! <em>A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions</em>
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 8
OP 22
DO 10.3905/jpm.2018.44.2.008
VO 44
IS 2
A1 Lionel Martellini
A1 Vincent Milhau
YR 2017
UL https://pm-research.com/content/44/2/8.abstract
AB Multi-asset investment solutions have become increasingly popular among sophisticated institutional investors focusing on efficient harvesting of risk premia across and within asset classes. One key challenge in the construction of diversified multi-asset portfolio strategies is that even a seemingly well-balanced allocation to many asset classes can eventually translate into a portfolio with a very concentrated set of underlying risk exposures. The authors suggest using a factor-based framework to more effectively measure and manage diversification in multi-asset portfolios.TOPICS: Analysis of individual factors/risk premia, portfolio construction