Active Risk-Based Investing
提出一个分析框架，允许投资者在风险型投资基础上加入主动观点，结合Black-Litterman方法推导出权重公式，并用1974-2016年多资产配置数据验证，发现主动风险型策略优于被动策略及等权重或最大夏普比率方法。
Risk-based investing is experiencing growing success among investors, although some critics contend that the implicit “no-views” characteristic of these solutions might trigger other forms of risk, such as valuation risk. In this article, the authors introduce an analytical framework that allows investors to add active views on top of a risk-based solution, bridging the gap between risk-based investing and mean-variance portfolio optimization. Starting from a Black-Litterman approach, the authors derive closed-form expressions for the active risk-based portfolio weights and discuss practical implementation aspects. The framework is illustrated with a multi-asset allocation exercise over the period 1974–2016. Using views generated from macroeconomic regime signals, the active risk-based strategy is shown to outperform empirically both passive risk-based strategies and popular methodologies such as Equal-weight or Maximum Sharpe ratio. <b>TOPICS:</b>Style investing, VAR and use of alternative risk measures of trading risk