Using a sample of international equity markets over the period 2001–2020, this paper aims to empirically investigate the implications in terms of asset allocation and the key properties of kurtosis-based strategies compared to the more traditional volatility-based strategies for financial portfolios construction. Furthermore, the contribution demonstrates that the portfolio recommended by the novel Kurtosis-based Risk Parity strategy introduced by Braga et al. (2023) admits to being interpreted as an intermediate portfolio between the Minimum-Kurtosis portfolio and the Equally Weighted portfolio in terms of the fourth root of the portfolio fourth moment.

中文翻译：

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基于峰度与基于波动性的资产配置策略：它们是否具有相同的属性？第一次实证调查


本文使用 2001 年至 2020 年期间的国际股票市场样本，旨在实证研究与更传统的基于波动性的金融投资组合构建策略相比，基于峰度的策略对资产配置和关键属性的影响。此外，该贡献表明，Braga 等人提出的新颖的基于峰度的风险平价策略推荐的投资组合。 （2023）承认就投资组合四次矩的四次根而言，被解释为最小峰度投资组合和等权重投资组合之间的中间投资组合。