Browsing BI Open by Author "Sivertsen, Axel Merlen"
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Equal risk contribution adopts time series momentum
Sivertsen, Axel Merlen; Skribeland, Kristoffer Vermundsberget (Master thesis, 2017)We study risk based portfolios with an emphasis on equal risk contribution, in a time series momentum setting. The benchmark strategies in which we compare the equal risk contribution includes inverse volatility, minimum ...