The document outlines the construction and management of a Multi-Asset Risk Premia Portfolio, focusing on volatility-targeting and risk-weighting strategies. It describes the methodology for rebalancing the portfolio based on Equal Risk Contribution and risk-weighted allocation. The document also details the use of short-term trailing realized volatility for daily adjustments and the implementation of leverage caps and risk control measures.
documents/vol00010-efta01364430-pdf.pdf
{"title":"Multi-Asset Risk Premia Portfolio - Portfolio Construction","document_type":"other","key_organizations":["DB-SDNY"],"reference_numbers":["DB-SDNY-0054966","SDNY_GM_00201150","EFTA01364430"]}