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Risk Parity, Maximum Diversification,
and Minimum Variance: An Analytic Perspective

Roger Clarke, Harindra de Silva and Steven Thorley
The Journal of Portfolio Management Spring 2013, 39 (3) 39-53; DOI: https://doi.org/10.3905/jpm.2013.39.3.039
Roger Clarke
is chairman of Analytic Investors, LLC, in Los Angeles, CA.
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  • For correspondence: rclarke@aninvestor.com
Harindra de Silva
is president of Analytic Investors, LLC, in Los Angeles, CA.
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  • For correspondence: hdesilva@aninvestor.com
Steven Thorley
is the H. Taylor Peery Professor of Finance at Brigham Young University in Provo, UT.
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  • For correspondence: steven.thorley@byu.edu
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The Journal of Portfolio Management: 39 (3)
The Journal of Portfolio Management
Vol. 39, Issue 3
Spring 2013
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Risk Parity, Maximum Diversification,
and Minimum Variance: An Analytic Perspective
Roger Clarke, Harindra de Silva, Steven Thorley
The Journal of Portfolio Management Apr 2013, 39 (3) 39-53; DOI: 10.3905/jpm.2013.39.3.039

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Risk Parity, Maximum Diversification,
and Minimum Variance: An Analytic Perspective
Roger Clarke, Harindra de Silva, Steven Thorley
The Journal of Portfolio Management Apr 2013, 39 (3) 39-53; DOI: 10.3905/jpm.2013.39.3.039
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  • Article
    • Abstract
    • ANALYTIC SOLUTIONS TO RISK-BASED PORTFOLIOS
    • ONE THOUSAND STOCK EMPIRICAL EXAMPLE
    • WEIGHT DISTRIBUTIONS AS A FUNCTION OF RISK
    • SUMMARY AND CONCLUSIONS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

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