Risk Parity Optimality
Gregg S. Fisher, Philip Z. Maymin and Zakhar G. Maymin
The Journal of Portfolio Management Winter 2015, 41 (2) 42-56; DOI: https://doi.org/10.3905/jpm.2015.41.2.042
Gregg S. Fisher
is chief investment officer of Gerstein Fisher in New York, NY.
Philip Z. Maymin
is an assistant professor of finance and risk engineering at NYU-Polytechnic Institute in New York, NY.
Zakhar G. Maymin
is head of research at Gerstein Fisher Research Center and a member of the investment strategy group at Gerstein Fisher in New York, NY.
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Risk Parity Optimality
Gregg S. Fisher, Philip Z. Maymin, Zakhar G. Maymin
The Journal of Portfolio Management Jan 2015, 41 (2) 42-56; DOI: 10.3905/jpm.2015.41.2.042
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- Article
- Abstract
- RISK PARITY, EQUAL RISK CONTRIBUTION, EQUAL WEIGHT, AND TANGENCY PORTFOLIOS
- GAME THEORY FRAMEWORK
- MINIMAX PROPERTY OF RISK PARITY AND OTHER PORTFOLIOS
- MAXIMIN PROPERTIES OF RISK PARITY
- WHEN RISK PARITY BEATS TANGENCY BY SHARPE RATIO
- PROBABILITY THAT RISK PARITY BEATS ANY OTHER PORTFOLIO IS GREATER THAN 50%
- WHEN RISK PARITY BEATS TANGENCY EMPIRICALLY
- CONCLUSION
- APPENDIX A1
- APPENDIX B
- APPENDIX C
- ENDNOTE
- REFERENCES
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