TY - JOUR T1 - Risk Disparity JF - The Journal of Portfolio Management SP - 40 LP - 48 DO - 10.3905/jpm.2013.40.1.040 VL - 40 IS - 1 AU - Mark Kritzman Y1 - 2013/10/31 UR - https://pm-research.com/content/40/1/40.abstract N2 - Investors seek to grow their wealth over time and avoid large draw-downs along the way, but these goals conflict. A policy portfolio serves as an expression of how investors balance these conflicting goals. A policy portfolio that maintains constant asset weights, however, experiences significant inter-temporal disparity in its risk profile, thereby defeating the purpose for which it is intended. This article offers evidence of inter-temporal risk disparity and shows how investors can use measures of intrinsic portfolio fragility and extrinsic market fragility to stabilize a portfolio’s risk profile.TOPICS: Portfolio theory, risk management, portfolio construction ER -