Risk-Based Approaches to Asset Allocation

Concepts and Practical Applications

  • Maria Debora Braga

Part of the SpringerBriefs in Finance book series (BRIEFSFINANCE)

Table of contents

  1. Front Matter
    Pages i-viii
  2. Maria Debora Braga
    Pages 1-2
  3. Maria Debora Braga
    Pages 3-15
  4. Back Matter
    Pages 93-99

About this book


This book focuses on the concepts and applications of risk-based asset allocation. Markowitz’s traditional approach to asset allocation suffers from serious drawbacks when implemented. These mainly arise from the estimation risk associated with the necessary input the most critical being expected returns. With the financial crisis, there has been an increasing interest in asset allocation approaches that don’t need expected returns as input, known as risk-based approaches. The book provides an analysis of the different solutions that fit this description: the equal-weighting approach, the global minimum-variance approach, the most diversified portfolio approach and the risk parity approach. In addition to a theoretical discussion of these, it presents practical applications in different investment environments. Three different evaluation dimensions are considered to put these approaches to the test: financial efficiency, diversification and portfolio stability.


Asset Allocation Minimum-variance Portfolio Risk Contribution Risk Parity Weighted Portfolio

Authors and affiliations

  • Maria Debora Braga
    • 1
  1. 1.Banking and Insurance DepartmentBocconi School of ManagementMilanItaly

Bibliographic information

  • DOI
  • Copyright Information The Author(s) 2016
  • Publisher Name Springer, Cham
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-319-24380-1
  • Online ISBN 978-3-319-24382-5
  • Series Print ISSN 2193-1720
  • Series Online ISSN 2193-1739
  • Buy this book on publisher's site
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