Leverage Aversion and Risk Parity

By Clifford S. Asness, Andrea Frazzini, Lasse Heje Pedersen. 2012

309 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/aa1b4dca58ff868821f7b4e4e511d09f3dd702f4

How researchers see this paper

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

In Economics and Econometrics

1. Alan Moreira
2. Junyan Shen
3. Jianfeng Yu
4. Shen Zhao
5. Tyler Muir
6. Nicholas Barberis
7. George Serafeim

In Finance

1. Alan Moreira
2. Junyan Shen
3. Shen Zhao
4. Jianfeng Yu
5. Tyler Muir
6. George Serafeim
7. Nicholas Barberis
8. Guofu Zhou

Citations in the corpus

• The Impact of Volatility Targeting (2018, unknown): “Asness, Frazzini, and Pedersen (2012) compared the performance of balanced and risk parity portfolios using monthly data.”
• Investor Sentiment and Economic Forces (2017, background): “…(1993)).10 Many studies have suggested possible forces responsible for the empirical failure of the CAPM, such as leverage aversion (Black (1972), Asness, Frazzini, and Pedersen (2012), and Frazzini and Pedersen (2014)), benchmarked institutional investors (Brennan (1993), Baker, Bradley, and…”
• Reference-Dependent Preferences and the Risk-Return Trade-Off (2017, unknown): “These include leverage constraints (see, e.g., Asness, Frazzini, and Pedersen, 2012; Black, 1972; Frazzini and Pedersen, 2014 ), benchmarked institutional investors (see, e.g., Baker, Bradley, and Wurgler, 2011; Brennan, 1993 ), money illusion (see, e.g., Cohen, Polk, and Vuolteenaho, 2005 ),…”
• Volatility‐Managed Portfolios (2017, background): “…the predictions of four leading equilibrium asset pricing models: the habits model (Campbell and Cochrane (1999)), long-run risk model (Bansal, Kiku, and Yaron (2012)), time-varying rare disasters model (Wachter (2013)), and intermediary-based asset pricing model (He and Krishnamurthy (2013)).”