volatility scaling

English translation: risk parity approach to asset allocation

15:15 Jun 4, 2019
English language (monolingual) [PRO]
Bus/Financial - Economics / Investment strategies
English term or phrase: volatility scaling
Context:
We find that Sharpe ratios are higher with volatility scaling for risk assets (equities and credit), as well as for portfolios that have a substantial allocation to these risk assets, such as a balanced (60-40 equity-bond) portfolio and a risk parity (equity-bond-credit-commodity) portfolio.
Nam Vo
Vietnam
Local time: 18:34
Selected answer:risk parity approach to asset allocation
Explanation:
This is what I have found on the topic. Hope it helps.
Selected response from:

Diego Biserni
Italy
Local time: 12:34
Grading comment
Thank you very much :
4 KudoZ points were awarded for this answer



SUMMARY OF ALL EXPLANATIONS PROVIDED
2risk parity approach to asset allocation
Diego Biserni


  

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27 mins   confidence: Answerer confidence 2/5Answerer confidence 2/5
risk parity approach to asset allocation


Explanation:
This is what I have found on the topic. Hope it helps.


    https://financetrain.com/time-scaling-of-volatility/
    https://www.researchgate.net/publication/303846490_Time_series_momentum_and_volatility_scaling
Diego Biserni
Italy
Local time: 12:34
Native speaker of: Native in ItalianItalian
PRO pts in category: 4
Grading comment
Thank you very much :
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