We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk … factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in … quant trading with much shorter holding horizons is suboptimal: (1) longer horizon risk factors (value, growth, etc …

This paper asks a few key questions relevant for active risk parity portfolio construction. Given the dynamic nature of … within a transparent conceptual framework is critical for the continued success of risk based portfolio construction and …

The risks embedded in asset-based risk parity portfolios are explored using a simple, economically motivated approach … asset-based risk parity portfolios. Investors in risk parity can use this approach for more robust portfolio construction … and for benchmarking and differentiating various risk parity approaches …

investment and hence should not be undertaken by “rational, risk-neutral” investors. However, real world considerations such as … the journal on left tail or downside tail risk hedging to “upside” hedging, whose importance has become increasingly …