Maimonides Risk Parity

Quantitative Finance Letters, Forthcoming

10 Pages Posted: 20 Oct 2013

See all articles by Philip Maymin

Philip Maymin

Fairfield University - Charles F. Dolan School of Business; Athletes Unlimited

Zakhar Maymin


Date Written: October 18, 2013


Drawing on and extending an estate allocation algorithm of 12th century philosopher Moses ben Maimon, we show how “Maimonides Risk Parity” can link together the equal weighted, market capitalization weighted, and risk parity portfolios in a unified, elegant, and concise theoretical framework, with only a single intuitive parameter: the portfolio risk. We also compare the empirical performance of Maimonides risk parity with standard risk parity and equal weighted portfolios using monthly CRSP equity and bond returns for the past six decades and find that Maimonides risk parity outperforms risk parity for any value of the portfolio risk, and outperforms the equal weighted portfolio for most values of portfolio risk. We also discuss the optimal choice of portfolio risk. The superior performance of Maimonides risk parity comes from the algorithm’s natural ability to robustly incorporate measurement error of seemingly small estimated risk.

Suggested Citation

Maymin, Philip and Maymin, Zakhar, Maimonides Risk Parity (October 18, 2013). Quantitative Finance Letters, Forthcoming, Available at SSRN:

Philip Maymin (Contact Author)

Fairfield University - Charles F. Dolan School of Business ( email )

N. Benson Road
Fairfield, CT 06824
United States

Athletes Unlimited ( email )

888 7th Avenue
New York, NY 10106
United States

Zakhar Maymin

Independent ( email )

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