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
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