Risk Parity Portfolios with Risk Factors
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References listed on IDEAS
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
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- Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Bruder, Benjamin & Roncalli, Thierry, 2012. "Managing risk exposures using the risk budgeting approach," MPRA Paper 37246, University Library of Munich, Germany.
- Eugene F. Fama & Kenneth R. French, 2004. "The Capital Asset Pricing Model: Theory and Evidence," Journal of Economic Perspectives, American Economic Association, vol. 18(3), pages 25-46, Summer.
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- Kozo Omori, 2013. "The Risk Parity Portfolio and the Low-Risk Asset Anomaly," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 9(3), pages 491-514, September.
More about this item
Keywordsrisk parity; risk budgeting; factor model; ERC portfolio; diversification; concentration; Fama-French model; hedge fund allocation; strategic asset allocation;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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