Diversifying Risk Parity
Diversifying Risk Parity
复制标题
风险平价多元化
DOI：
10.2139/ssrn.1974446
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发表时间：
2013
期刊：
影响因子：
--
通讯作者：
G. Orszag
中科院分区：
文献类型：
--
作者：
Harald Lohre;Heiko Opfer;G. Orszag
Striving for maximum diversification we follow Meucci (2009) in measuring and managing a multi-asset class portfolio. Under this paradigm the maximum diversification portfolio is equivalent to a risk parity strategy with respect to the uncorrelated risk sources embedded in the underlying portfolio assets. Our paper characterizes the mechanics and properties of this diversified risk parity strategy. Moreover, we explore the risk and diversification characteristics of traditional risk-based asset allocation techniques like 1/N, minimum-variance, or risk parity and demonstrate the diversified risk parity strategy to be quite meaningful when benchmarked against these alternatives.
