reveals that the relaxed risk parity model exhibits advantageous traits of robustness to expected returns, which should not …This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against … the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re …

formulated as a convex optimization problem that trades off expected return, risk and transaction costs. Using a framework … higher excess returns for the same degree of risk in both the case when an investment view proves to be correct, but, more …