The properties of equally-weighted risk contributions portfolios

By J. Teiletche, Thierry Roncalli, Sébastien Maillard. 2010

402 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Asset Allocation with Conditional Value-at-Risk Budgets (2013, neutral): “Previous research by Maillard et al (2010), Qian (2005) and Zhu et al (2010), however, has focused on using risk budgets as a constraint in the portfolio allocation, or imposing diversification through weight constraints.”
Properties of the Most Diversified Portfolio (2013, methodology): “Next, we compare theMDPwith threewell-known long-only quantitative portfolio construction approaches: the equal-weighted (EW), equal-risk-contribution (ERC) (Maillard et al 2010) and minimum-variance (MV) portfolios (Haugen and Baker 1991; Clarke et al 2006).”
Risk parity portfolios with risk factors (2016, background): “…risk parity strategies have become attractive to academics and practitioners alike (see e.g. Meucci 2007, Choueifaty and Coignard 2008, Meucci 2009, Maillard et al. 2010, Bruder and Roncalli 2012, Lohre et al. 2012) for they provide elegant and systematic methodologies to tackle the construction…”
Least-squares approach to risk parity in portfolio selection (2016, methodology): “For these reasons, Maillard et al. (2010) argue that risk-based strategies are more robust than approaches using expected returns.”