Technical paper/Risk parity
Risk parity strategies with risk factors
The authors consider risk parity in portfolio trading and compare the performance of RP portfolios against traditional value- and equal-weighted portfolios, finding RP strategies to outperform the others in most cases.
Uncertain risk parity
This paper treats covariance as uncertain in order to find a risk parity weighting that does not count on perfectly optimized hedges and is robust to changes in regime.
Second-order risk of alternative risk parity strategies
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.
A risk-based approach to construct multi asset portfolio solutions
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.
A generalized risk budgeting approach to portfolio construction
This paper proposes a generalized risk budgeting approach to portfolio construction.
Black–Litterman, exotic beta and varying efficient portfolios: an integrated approach
This paper brings Black–Litterman optimization, exotic betas and varying starting portfolios together into one complete, symbiotic framework.
Agnostic risk parity: taming known and unknown unknowns
This paper offers a new perspective on portfolio allocation, which avoids any explicit optimization and instead takes the point of view of symmetry.
Risk budgeting and diversification based on optimised uncorrelated factors
Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets
A unified framework for risk-based investing
This paper aims to help investors better understand the commonalities and differences between risk-based portfolio strategies in the investment industry.
Diversifying risk parity
Volume 16, Issue 5 (2014)
The Bayesian roots of risk balancing
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.