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 …

Using sectorial indices of the Brazilian market, we compare the portfolio optimization approach known as risk parity … portfolio strategy, since portfolio variance is considered as risk measure. Empirical results demonstrate that the risk parity … different estimators of the covariance matrix had little influence on the results obtained through the risk parity approach …

While it is often argued that allocation decisions can be best expressed in terms of exposure to rewarded risk factors … uncorrelated underlying risk factors, as opposed to correlated asset returns, can lead to a more efficient framework for measuring … target levels, on a portfolio effective number of bets generates an improvement in out-of-sample risk-adjusted performance …

-variance optimization framework. The calculated out-of-sample portfolio returns are attractive under different return-risk measures, and … they show positive risk-adjusted …

single-stage model with currency options for selective hedging of FX risks, while market risk is addressed only through … risk management. Simultaneous hedging of market and FX risks using stock and currency options yields the best ex …

The risk parity optimization problem produces portfolios where each asset contributes an equal amount to the overall … portfolio risk. While most work has investigated the problem using all assets, minimal work has investigated the cardinality … formulations at producing portfolios with equal risk contributions of chosen cardinality size. Specifically, the convex formulation …

This article studies the impact of carbon risk on stock pricing. To address this, we consider the seminal approach of … Görgen et al. (2019), who proposed estimating the carbon financial risk of equities by their carbon beta. To achieve this …, the primary task is to develop a brown-minus-green (or BMG) risk factor, similar to Fama and French (1992). Secondly, we …

Important sources of risk in agriculture are yield and price fluctuations caused by unpredictable and uncontrollable … these events could affect farmers’ risk aversion in decision making and justify their preferences for risk minimizing and … of polynomials and exponential (or “polynex”) functions to simulate risk aversion for specific traits of the E-V frontier …

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 …

attention in recent years. Unlike Principal Component Analysis (PCA) style of methods, balanced baskets spread risk or exposure …