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, considering strategy volatility and correlation. The document also details the use of exponential moving averages for volatility calculation and the implementation of leverage caps and risk control measures.
documents/vol00010-efta01364401-pdf.pdf
{"title":"Multi-Asset Risk Premia Portfolio - Portfolio Construction","document_type":"other","key_organizations":["DB-SDNY"],"reference_numbers":["DB-SDNY-0054935","SDNY_GM_00201119","EFTA01364401"]}