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Risk Parity Portfolio/Ushahidi
Rekodi ya ushahidi wa mbinu

Risk Parity Portfolio

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.

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Rekodi ya chanzo

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Risk Parity (Equal Risk Contribution) Portfolio Model
Rekodi ya mbinu ya kiajenda · regression-model / finance
  • Maillard, S., Roncalli, T. & Teïletche, J. (2010). The Properties of Equally Weighted Risk Contribution Portfolios. Journal of Portfolio Management, 36(4), 60–70. · DOI 10.3905/jpm.2010.36.4.060
  • Qian, E. (2005). Risk Parity Portfolios: Efficient Portfolios Through True Diversification. PanAgora Asset Management. · URL
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Same method familyBlack-Litterman Modelmachine-suggested · Relational suggestion, not evidence.Same method familyTail Risk Measuresmachine-suggested · Relational suggestion, not evidence.Same method familyValue at Riskmachine-suggested · Relational suggestion, not evidence.

Hali ya ushahidi

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

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