Risk Parity Optimality Even with Negative Sharpe Ratio Assets
Brian Jacobsen and Wai Lee
The Journal of Portfolio Management Multi-Asset Special Issue 2020, jpm.2020.1.151; DOI: https://doi.org/10.3905/jpm.2020.1.151
Brian Jacobsen
is a senior investment strategist on the Multi-Asset Solutions team at Wells Fargo Asset Management in Menomonee Falls, WI
Wai Lee
is global head of research on the Multi-Asset Solutions team at Wells Fargo Asset Management in London, UK
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In this issue
The Journal of Portfolio Management
Vol. 48, Issue 5
April 2022
Risk Parity Optimality Even with Negative Sharpe Ratio Assets
Brian Jacobsen, Wai Lee
The Journal of Portfolio Management Mar 2020, jpm.2020.1.151; DOI: 10.3905/jpm.2020.1.151