assume that the investor's utility has constant absolute risk aversion (CARA) and that the asset prices are given by a very …

In this article, the authors conduct a horse race between representative risk parity portfolios and other asset …/bond portfolio. They find that the traditional risk parity portfolio construction does not consistently outperform (in terms of risk … portfolios. Over the last 30 years, the Sharpe ratios of the risk parity and the equal-weighting portfolios have been much more …

Risk parity, also known as equal risk contribution, has recently gained increasing attention as a portfolio allocation …

We consider the utility maximization problem for an investor who faces a solvency or risk constraint in addition to a …

components used in asset pricing, namely the risk physical and neutral measures and the relative pricing kernel.The analysis is … utility of terminal wealth, we prove the existence of an information premium between what is required by the theory, a … interconnection between the pricing kernel and its densities, the extension to the risk-neutral measure follows naturally …

absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and …

-variance portfolio can be used to obtain a set of implied factor risk premia. Contrary to the instability of the mean-variance asset … portfolio, we show that such implied factor risk premia imply stable factor exposures. To translate factor exposures into asset … demonstrate that our "factor-targeted portfolios" exhibit higher Sharpe ratios than mean-variance and various risk …