Introduction to Risk Parity and Budgeting
By Thierry Roncalli. 2013
234 citations recorded by the source corpus.
Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies. Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy. This book contains the solutions of tutorial exercices which are included in Introduction to Risk Parity and Budgeting.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/ed61923bb690b4146bcc5bbc5b202ea6243cb6a6
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Citations in the corpus
- Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies (2017, background): “50An alternative approach is to consider a risk parity strategy, which helps, but is not sufficient (Roncalli, 2013).”
- Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020, unknown): “In the absence of high-frequency data in our dataset, we attempt to improve the estimation efficiency of a close-to-close daily volatility estimator by using intraday open, high, low 9For an introduction on risk-parity, see Roncalli (2013). The risk-parity portfolio construction methodology is also ”
- Risk Everywhere: Modeling and Managing Volatility (2018, unknown): “French, K. R., G. W. Schwert, and R. F. Stambaugh.”