In this paper, the authors provide theoretical and empirical evidence of the contribution of second-order risk to realized volatility for alternative risk parity strategies.
All Weather fund's approach remains poorly understood, says Prince
Pension fund cuts risk to guard against correlation switchback
February sell-off could presage a bigger slide if correlations change, buy-siders say
In this paper, the authors introduce an approach to cluster asset classes by correlation distance and then outline how these results can be used to design portfolios that are optimal in a group risk parity (GRP) framework.
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
This paper proposes a generalized risk budgeting approach to portfolio construction.
June sell-off might reveal more about discretionary investors watching factors
Jodi Richard, chief operational risk officer, discusses the bank being named Bank of the year in the 2017 Operational Risk Awards.
This paper brings Black–Litterman optimization, exotic betas and varying starting portfolios together into one complete, symbiotic framework.
This paper offers a new perspective on portfolio allocation, which avoids any explicit optimization and instead takes the point of view of symmetry.
Have fears of a co-ordinated sell-off by risk-parity funds been proven wrong?
Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets
This paper aims to help investors better understand the commonalities and differences between risk-based portfolio strategies in the investment industry.
Volume 16, Issue 5 (2014)
Risk balancing has been considered a heuristic asset allocation method. In this paper, the authors show that, on the contrary, risk balancing is a special case of a utility optimization problem with log regularization that constrains risk concentration.