We analyze a dual currency search model in which agents are allowed to hold multiple units of both currencies. Hence, agents hold portfolios of currency. We study equilibria in which the two currencies are identical and equilibria in which the two currencies differ according to the magnitude of...

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 ratios are greater than an unknown constant and...