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 …

Risk parity has been considered a heuristic asset allocation method. In this paper, we show that, to the contrary, risk … parity is a special case of a mean-risk type of a portfolio optimization problem with log-regularization to constrain weights … unconstrained mean-risk portfolio and a risk parity (or risk budgeted in general) portfolio. We also demonstrate in a Bayesian …

portfolios that help mitigating climate change risk but at the same time enable harvesting well-established return drivers such …

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …

substantial wealth relative to consumption demands, sequence of returns risk is operative throughout retirement. We explore, in an … asset-liability modeling context, the reasons why sequence risk exists throughout the planning horizon and why it can be … particularly acute at the end of an investor's life span. Given the nature of this risk, prudent asset management benefits from …

studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …