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The aim of this paper is to verify whether efficient portfolios, obtained using traditional tools of asset allocation, supply real diversification in terms of risk, in addition to the division of capital into different asset classes. The authors will show how portfolios that seem diversified in their capital allocation are too heavily concentrated on risk allocation. To solve this problem they propose using a risk budgeting approach based on equal marginal contribution to total risk. The diversification of risk will be effective in reducing the intensity and the length of drawdowns and in diversifying their source, with equal volatility to a traditional portfolio.
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