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| リスクパリティ（均等リスク寄与）ポートフォリオモデル× | テールリスク指標（期待ショートフォール、スペクトル、エクスペクタイル）× | |
|---|---|---|
| 分野 | ファイナンス | ファイナンス |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 2010 | 1999 |
| 提唱者≠ | Maillard, Roncalli & Teïletche (2010); popularised by Qian (2005) and Bridgewater All Weather | Artzner, Delbaen, Eber & Heath (coherent risk axioms); Acerbi & Tasche (Expected Shortfall) |
| 種類≠ | Portfolio weighting model (risk budgeting) | Coherent tail risk measure |
| 原典≠ | Maillard, S., Roncalli, T. & Teïletche, J. (2010). The Properties of Equally Weighted Risk Contribution Portfolios. Journal of Portfolio Management, 36(4), 60–70. DOI ↗ | Artzner, P., Delbaen, F., Eber, J.-M. & Heath, D. (1999). Coherent Measures of Risk. Mathematical Finance, 9(3), 203–228. DOI ↗ |
| 別名≠ | equal risk contribution, ERC portfolio, risk budgeting, All Weather strategy | expected shortfall, conditional value at risk, CVaR, spectral risk measure |
| 関連≠ | 3 | 5 |
| 概要≠ | Risk parity is a portfolio weighting model, formalised by Maillard, Roncalli and Teïletche (2010), in which every asset contributes an equal share of the total portfolio risk. It needs only the covariance (risk) structure of the assets and no forecast of expected returns, and it underpins Bridgewater's All Weather strategy. | Tail risk measures quantify the loss distribution beyond Value-at-Risk (VaR). Expected Shortfall — the expected loss given that VaR is exceeded — is the leading coherent risk measure, formalised by Artzner, Delbaen, Eber and Heath (1999) and shown to be coherent by Acerbi and Tasche (2002). Spectral and expectile-based measures generalise it. |
| ScholarGateデータセット ↗ |
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