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, with adjustments made daily to meet volatility targets. Leverage caps and risk control measures are also detailed.
documents/vol00010-efta01364482-pdf.pdf
{"document_type":"financial","document_subtype":"Portfolio Construction","key_organizations":["DB-SDNY"],"reference_numbers":["DB-SDNY-0055022","SDNY_GM_00201206","EFTA01364482"]}