方法证据记录
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.
源记录
引文逐字复制自方法源记录。这些引文不代表任何层级的验证。
Risk Parity (Equal Risk Contribution) Portfolio Model
分类方法记录 · 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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