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SSRN Electronic Journal, 2012
Striving for maximum diversification we follow the 2009 work of Meucci in measuring and managing a multi-asset class portfolio. Under this paradigm the maximum diversification portfolio is equivalent to a risk parity strategy with respect to the uncorrelated risk sources embedded in the underlying portfolio assets.
Lohre, Harald +2 more
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Striving for maximum diversification we follow the 2009 work of Meucci in measuring and managing a multi-asset class portfolio. Under this paradigm the maximum diversification portfolio is equivalent to a risk parity strategy with respect to the uncorrelated risk sources embedded in the underlying portfolio assets.
Lohre, Harald +2 more
openaire +1 more source
SSRN Electronic Journal, 2019
Risk parity is portfolio construction technique that, using risk alone, scales each part of a portfolio — e.g., stocks, bonds, currencies, commodities — so that its contribution to net portfolio risk matches its budgeted risk. Because risks are measured using a point-estimate of covariance, the method is subject to problems of estimation error.
openaire +1 more source
Risk parity is portfolio construction technique that, using risk alone, scales each part of a portfolio — e.g., stocks, bonds, currencies, commodities — so that its contribution to net portfolio risk matches its budgeted risk. Because risks are measured using a point-estimate of covariance, the method is subject to problems of estimation error.
openaire +1 more source