A0769
Title: Active risk-based investing
Authors: Emmanuel Jurczenko - Ecole Hoteliere de Lausanne (Switzerland) [presenting]
Jerome Teiletche - Unigestion (Switzerland)
Abstract: Risk-based investment solutions are seen as incorporating no views. We propose an analytical framework that allows the introduction of explicit active views on expected asset returns in risk-based solutions. Starting from a Black-Litterman approach, we derive closed-form formulas for the weights of the active risk-based portfolio, and identify their main determinants. We discuss implementation aspects and show that our framework encompasses several other popular active investing methodologies. We illustrate the methodology with a multi-asset portfolio allocation problem using views based on macroeconomic regimes over the period 1974-2013.
