Demystifying Risk Parity
36 Pages Posted: 19 Jan 2012 Last revised: 22 Jan 2012
Date Written: January 9, 2012
Abstract
Most analysis of risk parity treats it as a heuristic and compares backtests of different allocation methods with less emphasis on investment rationale. The authors investigate risk parity under different settings, highlight its potential utility, and give insights into when this method may be expected to perform better by conducting path independent controlled simulation experiments.
Keywords: Risk parity
Suggested Citation: Suggested Citation
Kaya, Hakan and Lee, Wai, Demystifying Risk Parity (January 9, 2012). Available at SSRN: https://ssrn.com/abstract=1987770 or http://dx.doi.org/10.2139/ssrn.1987770
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