The key problem in portfolio optimization is not per se the optimization itself, but the specification of the inputs, notably the views on ex-ante risk premia. The authors add to the literature on portfolio optimization by proposing a portfolio selection framework that allows an investor to position herself between a risk parity strategy and a mean-variance optimized portfolio. Depending on the confidence in one’s risk premium estimates, the optimal portfolio will be tilted more towards one or the other. The authors bridge the gap between risk premium ignorance of risk parity on the one hand, and risk premium clairvoyance of mean-variance on the other hand. The framework is illustrated for a US investor whose opportunity set consists of equities, bonds and commodities.
This report is not available for users from countries where the offering of foreign financial services is not permitted, such as US Persons.
Your details are not shared with third parties. This information is exclusively intended for professional investors. All requests are checked.
The information contained in the website is solely intended for professional investors. Some funds shown on this website fall outside the scope of the Dutch Act on the Financial Supervision (Wet op het financieel toezicht) and therefore do not (need to) have a license from the Authority for the Financial Markets (AFM).
The funds shown on this website may not be available in your country. Please select your country website (top right corner) to view the products that are available in your country.
Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports, which can be all be obtained free of charge at this website and at the Robeco offices in each country where Robeco has a presence.