Risk Parity Portfolio vs. Other Asset Allocation Heuristic Portfolios

By Denis B. Chaves, Jason C. Hsu, Feifei Li, Omid Shakernia. Journal of Investing, 2011

166 citations recorded by the source corpus.

Subfields: Accounting, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/094d24b924caa659442065401999d7a77e06953e

Citations in the corpus

• Least-squares approach to risk parity in portfolio selection (2016, unknown): “2010, Chaves et al. 2011, 2012). Most of the existing work considers risk parity in the context of long-only portfolios. In this case, it can be demonstrated that a risk parity portfolio can be obtained from the solution of a convex optimization problem. Under reasonable assumptions, this solution i”