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Bolliger, Guido

Nom
Bolliger, Guido
Affiliation principale
Site web
Email
guido.bolliger@unine.ch
Identifiants
https://libra.unine.ch/handle/123456789/236

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  • Publication
    Accès libre
    The impact of covariance misspecification in risk-based portfolios
    (2017-3)
    Ardia, David 
    ;
    Boudt, Kris
    ;
    Bolliger, Guido 
    ;
    Gagnon-Fleury, Philippe
    The equal-risk-contribution, inverse-volatility weighted, maximum-diversification and minimum-variance portfolio weights are all direct functions of the estimated covariance matrix. We perform a Monte Carlo study to assess the impact of covariance matrix misspecification to these risk-based portfolios at the daily, weekly and monthly forecasting horizon. Our results show that the equal-risk-contribution and inverse-volatility weighted portfolio weights are relatively robust to covariance misspecification. In contrast, the minimum-variance portfolio weights are highly sensitive to errors in both the estimated variances and correlations, while errors in the estimated correlations can have a large effect on the weights of the maximum-diversification portfolio.