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   Articles with "risk parity" as a keyword



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Risk parity for Mixed Tempered Stable distributed sources of risk

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recommendations! Published in 2018 at "Annals of Operations Research"

DOI: 10.1007/s10479-016-2394-y

Abstract: In this paper we discuss a detailed methodology for dealing with Risk parity in a parametric context. In particular, we use the Independent Component Analysis for a linear decomposition of portfolio risk factors. Each Independent… read more here.

Keywords: risk parity; risk; mixed tempered; tempered stable ... See more keywords
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Does the number of holdings in a risk parity portfolio matter?

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recommendations! Published in 2019 at "Journal of Asset Management"

DOI: 10.1057/s41260-019-00110-y

Abstract: This empirical study is an endeavor to assess the impact of the number of securities in a risk parity portfolio on its performance. The study focuses on performance analysis of fifty, seventy-five and hundred stocks… read more here.

Keywords: risk parity; number; parity portfolio; portfolio ... See more keywords
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Risk parity: An alternative formulation for risk-averse stochastic optimization in presence of heavy-tailed distribution of losses

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recommendations! Published in 2022 at "Journal of the Operational Research Society"

DOI: 10.1080/01605682.2022.2096494

Abstract: Abstract The concept of Risk Parity (or Equal Risk Contribution), which has been widely used in financial portfolio management, aims at explicitly enforcing diversification in a portfolio by ensuring equal contribution from each asset to… read more here.

Keywords: risk parity; risk averse; risk; averse stochastic ... See more keywords
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The Properties of Alpha Risk Parity Portfolios

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recommendations! Published in 2022 at "Entropy"

DOI: 10.3390/e24111631

Abstract: Risk parity is an approach to investing that aims to balance risk evenly across assets within a given universe. The aim of this study is to unify the most commonly-used approaches to risk parity within… read more here.

Keywords: alpha risk; risk parity; properties alpha; parity portfolios ... See more keywords