Risk parity
Can risk parity ride out the storm of correlated asset chaos?
High interest rates, spiking inflation and correlation breakdowns are testing risk parity strategies
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.
Bridgewater co-CIO on risk parity, correlations and contagion
All Weather fund’s approach remains poorly understood, says Prince
Denmark’s ATP warns of inflation threat to risk parity
Pension fund cuts risk to guard against correlation switchback
Fears persist about forced unwind from ‘implicit’ short vol funds
February sell-off could presage a bigger slide if correlations change, buy-siders say
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.
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
A generalized risk budgeting approach to portfolio construction
This paper proposes a generalized risk budgeting approach to portfolio construction.
What the ‘tech wreck’ doesn’t tell us about systematic investing
June sell-off might reveal more about discretionary investors watching factors
Sponsored video: Jodi Richard, US Bank
Jodi Richard, chief operational risk officer, discusses the bank being named Bank of the year in the 2017 Operational Risk Awards.
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.
The risk-parity fire sale that didn’t happen
Have fears of a co-ordinated sell-off by risk-parity funds been proven wrong?
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.