Risk budgeting using a generalized diversity index
GB Koumou - Journal of Asset Management, 2023 - Springer
Uniform budgeting in risk budgeting (RB), which results in risk parity (RP), can be sub-
optimal in the case where assets are correlated. In particular, it may lead to solutions with …
optimal in the case where assets are correlated. In particular, it may lead to solutions with …
On Risk Parity Performance.
RM Gaspar - Journal of Portfolio Management, 2024 - search.ebscohost.com
The authors empirically compare risk parity (RP) with traditional mean-variance theory
(MVT) portfolios and naive strategies over 30 years (1990-2019) across five asset classes …
(MVT) portfolios and naive strategies over 30 years (1990-2019) across five asset classes …
From Risk Parity to Outcome Risk Parity: A Review and Extension of the Risk Parity Portfolio with Return Predictability
G Renzi-Ricci, O Harvey, L Baynes - Available at SSRN 4444069, 2023 - papers.ssrn.com
Risk parity methods focused on volatility have gained traction in the last decade. A few
extensions have been proposed, including tail risk parity. The authors show that, at its limits …
extensions have been proposed, including tail risk parity. The authors show that, at its limits …