Exploring Risk-Based Portfolio Construction: Empirical Evaluation of Equal Risk Contribution and Inverse Volatility Portfolios

dc.contributor.author	Nilsen, Mikael Kenneth
dc.contributor.author	Bolle, Ole Anders
dc.date.accessioned	2023-10-09T12:19:11Z
dc.date.available	2023-10-09T12:19:11Z
dc.date.issued	2023
dc.identifier.uri	https://hdl.handle.net/11250/3095282
dc.description	Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2023	en_US
dc.description.abstract	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, and Uppal’s study from 2009 on the mean-variance model and its extensions. We create portfolios and evaluate their out-of-sample performance against the Equal Weighted (EW) strategy in terms of Sharpe Ratio, Certainty Equivalent, and turnover. Findings suggest that while ERC and IVP do not consistently outperform the EW strategy, they demonstrate significant potential, often matching or surpassing EW’s performance.	en_US
dc.language.iso	eng	en_US
dc.publisher	Handelshøyskolen BI	en_US
dc.subject	finans	en_US
dc.subject	finance	en_US
dc.title	Exploring Risk-Based Portfolio Construction: Empirical Evaluation of Equal Risk Contribution and Inverse Volatility Portfolios	en_US
dc.type	Master thesis	en_US
dc.rights.holder	Handelshøyskolen BI	en_US