Asset price data imply a large degree of international risk sharing, while aggregate consumption data do not. We …. Active households pay a fixed cost to transfer income into or out of assets. These households share risk within and across … countries, and their marginal utility growth prices assets, so asset prices imply high international risk sharing. Inactive …

We show that the probability of risk parity beating any other portfolio is more than 50 percent. We also prove that if … portfolio performance is measured by Sharpe ratio, risk parity is the only maximin portfolio when (1) all assets' future Sharpe … assets' future Sharpe ratios is greater than some constant. If portfolio performance is measured by expected return, risk …