Sentences with phrase «equal risk contribution»

The current debate about optimal sector and country weights in a stock market index is still ongoing and there are many different rivaling approaches like equal weighting, fundamental weighting, GDP - weighting or equal risk contribution or minimum variance.

The US ETF will replicate the returns of the Scientific Beta United States Multi-Beta Multi-Strategy Equal Risk Contribution Index (scientific!

For comparison, they also consider equal weight, minimum variance and equal risk contribution (equal contribution to portfolio risk by each individual factor) allocation approaches.

Not exact matches

The relative strength model uses an equal weight allocation for the model selected assets, whereas the adaptive asset allocation uses either risk parity allocation or minimum variance allocation for the model assets, i.e., it either equalizes the risk contribution across the selected assets or weights the assets in order to minimize the expected volatility.