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ALL WEATHER REVISITED

Wattin Håkansson, Victor (2014) FMS820 20141
Mathematical Statistics
Abstract (Swedish)
The aim of this thesis is to study a pair of portfolio strategies that ideally could perform well during most economical environments. These Environments are portrayed as
periods of Rising or falling market expectations of future growth, inflation and credit risk.
The concepts behind these strategies are based on Bridgewater Associates. All Weather fund.
Current expectations of future conditions are derived from market asset prices. Expectations are viewed as risk factors in the portfolio risk modeling that plays an essential part in the strategy.
In the first strategy the allocation will be decided by minimizing the conditional value-­‐at-­‐risk.
The second one resembles a Risk Parity–strategy.
Assets are categorized in which... (More)
The aim of this thesis is to study a pair of portfolio strategies that ideally could perform well during most economical environments. These Environments are portrayed as
periods of Rising or falling market expectations of future growth, inflation and credit risk.
The concepts behind these strategies are based on Bridgewater Associates. All Weather fund.
Current expectations of future conditions are derived from market asset prices. Expectations are viewed as risk factors in the portfolio risk modeling that plays an essential part in the strategy.
In the first strategy the allocation will be decided by minimizing the conditional value-­‐at-­‐risk.
The second one resembles a Risk Parity–strategy.
Assets are categorized in which Environments they perform well and are then allocated to sub-­‐portfolios.
The portfolio allocation is given when then the sub-­portfolios have equality
of a portfolio measure. (Less)
Please use this url to cite or link to this publication:
author
Wattin Håkansson, Victor
supervisor
organization
alternative title
Short - term optimization of a robust All Weather - inspired portfolio
course
FMS820 20141
year
type
H2 - Master's Degree (Two Years)
subject
language
English
id
4392221
date added to LUP
2014-04-10 10:25:05
date last changed
2014-04-10 10:25:05
@misc{4392221,
  abstract     = {The aim of this thesis is to study a pair of portfolio strategies that ideally could perform well during most economical environments. These Environments are portrayed as
periods of Rising or falling market expectations of future growth, inflation and credit risk.
The concepts behind these strategies are based on Bridgewater Associates. All Weather fund.
Current expectations of future conditions are derived from market asset prices. Expectations are viewed as risk factors in the portfolio risk modeling that plays an essential part in the strategy.
In the first strategy the allocation will be decided by minimizing the conditional value-­‐at-­‐risk.
The second one resembles a Risk Parity–strategy.
Assets are categorized in which Environments they perform well and are then allocated to sub-­‐portfolios.
The portfolio allocation is given when then the sub-­portfolios have equality
of a portfolio measure.},
  author       = {Wattin Håkansson, Victor},
  language     = {eng},
  note         = {Student Paper},
  title        = {ALL WEATHER REVISITED},
  year         = {2014},
}