Risk Parity for the Masses

Posted: 7 Nov 2011 Last revised: 18 Jan 2022

Date Written: November 7, 2011


In this research note, we will give a short introduction to risk parity and compare risk parity portfolios with portfolios based on different construction principles. We will present some of our findings from in-sample and out-of-sample experiments with equity and balanced portfolios. We conclude with three practical recommendations which are of importance to risk parity investors and investment managers alike.

Keywords: Risk Parity, Minimum Variance Portfolio, Portfolio Construction, Efficient Frontier, In-Sample, Out-Of-Sample

Suggested Citation

Steiner, Andreas, Risk Parity for the Masses (November 7, 2011). Journal of Investing, Vol. 21, No. 3: pp. 129-139, Fall 2012, Available at SSRN: https://ssrn.com/abstract=1955906 or http://dx.doi.org/10.2139/ssrn.1955906

Andreas Steiner (Contact Author)

Andreas Steiner Consulting GmbH ( email )

Walderstrasse 43c
Hinwil, 8340

HOME PAGE: http://www.andreassteiner.net/consulting

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