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Title: Analysis of risk parity approach for sovereign fixed-income portfolios in Eurozone countries
Authors: Cassar, Noel
Grima, Simon
Keywords: Debts, Public -- Europe
Bond market
Risk management
Portfolio management
Issue Date: 2016
Publisher: Emerald Group Publishing Limited
Citation: Cassar, N., & Grima, S. (2016), Analysis of risk parity approach for sovereign fixed-income portfolios in Eurozone countries. In S. Grima & F.Bezzina (Eds.), Contemporary Issues in Bank Financial Management (Contemporary Studies in Economic and Financial Analysis, Volume 97), pp.157-198, Emerald Group Publishing Limited.
Abstract: The recent development of the European debt sovereign crisis showed that sovereign debt is not “risk free.” The traditional index bond management used during the last two decades such as the market-capitalization weighting scheme has been severely called into question. In order to overcome these drawbacks, alternative weighting schemes have recently prompted attention, both from academic researchers and from market practitioners. One of the key developments was the introduction of passive funds using economic fundamental indicators.
ISSN: 10.1108/S1569-375920160000097011
Appears in Collections:Dissertations - FacEma - 2015
Scholarly Works - FacEMAIns

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