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Risk Control through Dynamic Core-Satellite Portfolios of ETFs: Applications to Absolute Return Funds and Tactical Asset Allocation — January 2010

Table of Contents

Abstract ...................................................................................................................5

Introduction ............................................................................................................7

  • 1.

    Method: Dynamic Risk Budgeting.................................................................11

  • 2.

    Beyond Diversification: Absolute Return Funds of ETFs. .........................17

  • 2.

    Beyond Tactical Bets: Integrating Predictions

in a Risk-Controlled Framework ................................................................. 21

Conclusion ..............................................................................................................27

References ..............................................................................................................29

About EDHEC-Risk Institute ...............................................................................31

About Amundi ETF ................................................................................................35

EDHEC-Risk Institute Publications and Position Papers (2007-2010) .........37

An EDHEC-Risk Institute Publication

3

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