Blar i BI Open på forfatter "Nilsen, Mikael Kenneth"
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Exploring Risk-Based Portfolio Construction: Empirical Evaluation of Equal Risk Contribution and Inverse Volatility Portfolios
Nilsen, Mikael Kenneth; Bolle, Ole Anders (Master thesis, 2023)We examine the effectiveness of risk-based portfolio construction methods, specifically Equal Risk Contribution (ERC) and Inverse Volatility (IVP), using the same data set and performance measures as in DeMiguel, Garlappi, ...