Stock Allocation Strategy with Equal Risk Contribution

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

DAVALLOU MARYAM; Fadaei Moloudy Habib; Safari Taherkhani Ali

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2021 | Volume:9 | Issue:32 Page(s): 25-53

Download Full-Text

Persian Verion

View:

140

Download:

Cites:

Information Journal Paper

Title

Stock Allocation Strategy with Equal Risk Contribution

Author(s)

DAVALLOU MARYAM | Fadaei Moloudy Habib | Safari Taherkhani Ali | Issue Writer Certificate

Keywords

Asset Allocation Models

Equally Weighted Portfolio

Minimum Variance Portfolio

Equal Risk Contributions (ERC) Portfolio

Abstract

Optimal asset allocation affects portfolio performance and decreases investor risk. In this regard, the most widely used models include asset allocation with equalweighted and minimum variance. These models from the very beginning have faced much criticism. Following the financial crisis in America in 2008 equal risk contribution of asset allocation model was presented where special attention is the risk factor. In equal risk contribution (ERC), the risk contribution of each portfolio is equal. In this paper, the performance of these three strategies in terms of risk, return, Sharp ratio, diversification in terms of weight and risk, maximum drawdown, turnover, cost of transactions, risk in financial crises and cumulative returns are compared with each other. Samples included weekly data of 25 main indexes in Tehran Stock Exchange from 2006 to 2014. The results of this study show that equal risk contribution of asset allocation strategy in most cases performs moderately well and in some cases performs better than the other two strategies. Likewise, the investors and portfolio managers have more reliable performance by applying it.

Cites

No record.

References

No record.

Cite

APA: Copy

DAVALLOU, MARYAM, Fadaei Moloudy, Habib, & Safari Taherkhani, Ali. (2021). Stock Allocation Strategy with Equal Risk Contribution. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 9(32 ), 25-53. SID. https://sid.ir/paper/961908/en

Vancouver: Copy

DAVALLOU MARYAM, Fadaei Moloudy Habib, Safari Taherkhani Ali. Stock Allocation Strategy with Equal Risk Contribution. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2021;9(32 ):25-53. Available from: https://sid.ir/paper/961908/en

IEEE: Copy

MARYAM DAVALLOU, Habib Fadaei Moloudy, and Ali Safari Taherkhani, “Stock Allocation Strategy with Equal Risk Contribution,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 9, no. 32 , pp. 25–53, 2021, [Online]. Available: https://sid.ir/paper/961908/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops