Haesen, Daniel
[Verfasser:in]
;
Hallerbach, Winfried G.
[Sonstige Person, Familie und Körperschaft];
Markwat, Thijs D.
[Sonstige Person, Familie und Körperschaft];
Molenaar, Roderick
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
In: Journal of Investing, 2017
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 18, 2014 erstellt
Beschreibung:
Within the finance literature there is an apparent gap between the inherent risk premium ignorance of a risk parity approach on the one hand and the assumed risk premium clairvoyance of a mean variance approach on the other. We propose a portfolio selection framework that allows an investor to position herself between these two extremes. Depending on the confidence in one's risk premium estimates, the optimal portfolio will be tilted more towards the risk parity portfolio or to the mean variance portfolio. We illustrate the framework for an investor in an asset allocation context