Does the number of holdings in a risk parity portfolio matter?
Author
Abstract
Suggested Citation
DOI: 10.1057/s41260-019-00110-y
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- John L. Evans & Stephen H. Archer, 1968. "Diversification And The Reduction Of Dispersion: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 23(5), pages 761-767, December.
- repec:dau:papers:123456789/4688 is not listed on IDEAS
- Anna Agapova & Robert Ferguson & Dean Leistikow & Danny Meidan, 2017. "What’s the big deal about Risk Parity?," Journal of Asset Management, Palgrave Macmillan, vol. 18(5), pages 341-346, September.
- Grinblatt, Mark & Titman, Sheridan D, 1989.
"Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings,"
The Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July.
- Mark Grinblatt & Sheridan Titman, "undated". "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," Rodney L. White Center for Financial Research Working Papers 23-88, Wharton School Rodney L. White Center for Financial Research.
- Elton, Edwin J & Gruber, Martin J, 1977. "Risk Reduction and Portfolio Size: An Analytical Solution," The Journal of Business, University of Chicago Press, vol. 50(4), pages 415-437, October.
- Benoit Mandelbrot, 2015.
"The Variation of Certain Speculative Prices,"
World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78,
World Scientific Publishing Co. Pte. Ltd..
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394-394.
- Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Portfolio Management With Higher Moments: The Cardinality Impact," GEMF Working Papers 2015-15, GEMF, Faculty of Economics, University of Coimbra.
- Ayub, Usman & Shah, Syed Zulfiqar Ali & Abbas, Qaisar, 2015. "Robust analysis for downside risk in portfolio management for a volatile stock market," Economic Modelling, Elsevier, vol. 44(C), pages 86-96.
- Eom, Cheoljun & Kaizoji, Taisei & Livan, Giacomo & Scalas, Enrico, 2021. "Limitations of portfolio diversification through fat tails of the return Distributions: Some empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
- Haensly, Paul J., 2020. "Risk decomposition, estimation error, and naïve diversification," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Waldemar Tarczyński & Małgorzata Łuniewska, 2006. "Risk Diversification on the Polish Capital Market," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 12(3), pages 308-317, August.
- K. Saranya & P. Prasanna, 2014. "Portfolio Selection and Optimization with Higher Moments: Evidence from the Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(2), pages 133-149, May.
- Cabrini, Silvina M. & Stark, Brian G. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2005.
"Portfolios of Agricultural Market Advisory Services: How Much Diversification is Enough?,"
Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 37(1), pages 1-14, April.
- Cabrini, Silvina M. & Stark, Brian G. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao, 2005. "Portfolios of Agricultural Market Advisory Services: How Much Diversification Is Enough?," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 37(1), pages 101-114, April.
- Stark, Brian G. & Cabrini, Silvina M. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2003. "Portfolios Of Agricultural Market Advisory Services: How Much Diversification Is Enough?," AgMAS Project Research Reports 14774, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
- Cabrini, Silvina M. & Stark, Brian G. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2004. "Portfolios Of Agricultural Market Advisory Services: How Much Diversification Is Enough?," 2004 Conference, April 19-20, 2004, St. Louis, Missouri 19013, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Luca Riccetti, 2013. "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, vol. 44(3), pages 1315-1336, June.
- Hutson, Elaine & Kearney, Colm & Lynch, Margaret, 2008.
"Volume and skewness in international equity markets,"
Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1255-1268, July.
- Colm Kearney & Margaret Lynch, 2005. "Volume and Skewness in International Equity Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp043, IIIS.
- Vitali Alexeev & Mardi Dungey, 2015.
"Equity portfolio diversification with high frequency data,"
Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1205-1215, July.
- Alexeev, Vitali & Dungey, Mardi, 2013. "Equity portfolio diversification with high frequency data," Working Papers 2013-18, University of Tasmania, Tasmanian School of Business and Economics, revised 01 Nov 2013.
- ROCKINGER, Michael & JONDEAU, Eric, 2000.
"Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence,"
HEC Research Papers Series
710, HEC Paris.
- Michael Rockinger & Eric Jondeau, 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working Papers hal-00601486, HAL.
- Jondeau, E. & Rockinger, M., 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working papers 77, Banque de France.
- Alexander Eastman & Brian Lucey, 2008. "Skewness and asymmetry in futures returns and volumes," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 777-800.
- Tasca, Paolo & Mavrodiev, Pavlin & Schweitzer, Frank, 2014.
"Quantifying the impact of leveraging and diversification on systemic risk,"
Journal of Financial Stability, Elsevier, vol. 15(C), pages 43-52.
- Paolo Tasca & Pavlin Mavrodiev & Frank Schweitzer, "undated". "Quantifying the Impact of Leveraging and Diversification on Systemic Risk," Working Papers ETH-RC-13-003, ETH Zurich, Chair of Systems Design.
- Tasca, Paolo & Mavrodiev, Pavlin & Schweitzer, Frank, 2013. "Quantifying the Impact of Leveraging and Diversification on Systemic Risk," Research Program in Finance, Working Paper Series qt7s57834n, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
- Paolo Tasca & Pavlin Mavrodiev & Frank Schweitzer, 2013. "Quantifying the Impact of Leveraging and Diversification on Systemic Risk," Papers 1303.5552, arXiv.org.
- Vitali Alexeev & Katja Ignatieva, 2021. "Biases in variance of decomposed portfolio returns," International Review of Finance, International Review of Finance Ltd., vol. 21(4), pages 1152-1178, December.
- Dheeraj Misra & Sushma Vishnani & Ankit Mehrotra, 2019. "Four-moment CAPM Model: Evidence from the Indian Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 137-166, April.
- Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2011.
"Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy,"
EconomiX Working Papers
2011-20, University of Paris Nanterre, EconomiX.
- Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2011. "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy," Working Papers hal-04140988, HAL.
- Iseringhausen, Martin, 2020.
"The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model,"
Journal of Empirical Finance, Elsevier, vol. 58(C), pages 275-292.
- Martin Iseringhausen, 2018. "The Time-Varying Asymmetry Of Exchange Rate Returns: A Stochastic Volatility – Stochastic Skewness Model," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 18/944, Ghent University, Faculty of Economics and Business Administration.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016.
"Efficient skewness/semivariance portfolios,"
Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 331-346, September.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF, Faculty of Economics, University of Coimbra.
- Alessandro Carretta & Gianluca Mattarocci, 2009.
"Funds of Funds Portfolio Composition and its Impact on Performance: Evidence from the Italian Market,"
Palgrave Macmillan Studies in Banking and Financial Institutions, in: Alessandro Carretta & Franco Fiordelisi & Gianluca Mattarocci (ed.), New Drivers of Performance in a Changing Financial World, chapter 5, pages 69-88,
Palgrave Macmillan.
- Carretta, Alessandro & Mattarocci, Gianluca, 2005. "Funds of funds portfolio composition and its impact on the performance: evidence from the Italian market," MPRA Paper 4293, University Library of Munich, Germany, revised Jan 2007.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005.
"Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions,"
Springer Books, in: Michèle Breton & Hatem Ben-Ameur (ed.), Numerical Methods in Finance, chapter 0, pages 173-191,
Springer.
- BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche 2005-04, Universite de Montreal, Departement de sciences economiques.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers 2005s-03, CIRANO.
- BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche 04-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
More about this item
Keywords
risk parity portfolio; portfolio alpha; portfolio holdings;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:assmgt:v:20:y:2019:i:2:d:10.1057_s41260-019-00110-y. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.