Загоскин Станислав Игоревич
Multi-Asset Carry Portfolio Construction
Финансовые рынки и финансовые институты
In this research I examine different ways to effectively construct multi-asset carry portfolio. I present the enhancing carry portfolio on individual asset class level and show that a combination of the cross-sectional and time-series carry strategies improves the portfolio performance. I optimally combine the individual carry trade strategies in multi-asset portfolio by applying the dynamic volatility control and risk parity allocation. Moreover, I propose the way to use the carry prediction power in multi-asset allocation and apply the performance based risk allocation technique in the portfolio construction. I show that equal risk contribution and performance based risk allocation contribution strategies can substantially increase the performance of multi-asset carry portfolio. The obtained results are robust for the different portfolio constructions and consistent over time.