Risk parity methods focused on volatility have gained traction in the last decade. A few extensions have been proposed …, including tail risk parity. The authors show that, at its limits, tail risk parity converges towards the risk parity portfolio … or the tangency portfolio. The authors also introduce a new risk parity measure called ‘outcome risk parity’ which allows …

fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …

risk-adjusted returns after transaction cost for the U.S. We combine predictions of expected returns at multiple horizons … profitability on the U.S. sample. Buy/hold spread portfolios have better risk-adjusted profitability in the U.S. …

positive risk prices are consistent with the Intertemporal Capital Asset Pricing Model (ICAPM) of Merton (1973), given how the … variables within the ICAPM, thus resurrecting a central role for macroeconomic risk in determining expected returns …