The Risk Parity approach to portfolio selection is based on the principle that the fractions of the capital invested in each asset should be chosen so as to make the total risk contributions of all asset equal among them. We show that this approach is theoretically dominated by an alternative similar approach that does not require such equality but only appropriate inequalities.
Cesarone, F., F., T. (2013). Risk disparity is better than risk parity for portfolio selection. In Proceedings of 26th European Conference on Operational Research (pp.316-316).
Risk disparity is better than risk parity for portfolio selection
CESARONE, FRANCESCO;
2013-01-01
Abstract
The Risk Parity approach to portfolio selection is based on the principle that the fractions of the capital invested in each asset should be chosen so as to make the total risk contributions of all asset equal among them. We show that this approach is theoretically dominated by an alternative similar approach that does not require such equality but only appropriate inequalities.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
