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Diversifying risk parity

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Diversifying risk parity. / Lohre, Harald; Opfer, Heiko; Ország, Gábor.
In: Journal of Risk, Vol. 16, No. 5, 29.06.2014, p. 53-79.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Lohre, H, Opfer, H & Ország, G 2014, 'Diversifying risk parity', Journal of Risk, vol. 16, no. 5, pp. 53-79. https://doi.org/10.21314/JOR.2014.284

APA

Lohre, H., Opfer, H., & Ország, G. (2014). Diversifying risk parity. Journal of Risk, 16(5), 53-79. https://doi.org/10.21314/JOR.2014.284

Vancouver

Lohre H, Opfer H, Ország G. Diversifying risk parity. Journal of Risk. 2014 Jun 29;16(5):53-79. doi: 10.21314/JOR.2014.284

Author

Lohre, Harald ; Opfer, Heiko ; Ország, Gábor. / Diversifying risk parity. In: Journal of Risk. 2014 ; Vol. 16, No. 5. pp. 53-79.

Bibtex

@article{3ee69336764e4f8d9e12e4176d995b55,
title = "Diversifying risk parity",
abstract = "Striving for maximum diversification we follow the 2009 work of Meucci in measuring and managing a multi-asset class portfolio. Under this paradigm the maximum diversification portfolio is equivalent to a risk parity strategy with respect to the uncorrelated risk sources embedded in the underlying portfolio assets. We characterize the mechanics and properties of this diversified risk parity strategy. Moreover, we explore the risk and diversification characteristics of traditional risk-based asset allocation techniques such as 1/N, minimum-variance or risk parity and show the diversified risk parity strategy to be very meaningful when benchmarked against these alternatives.",
author = "Harald Lohre and Heiko Opfer and G{\'a}bor Orsz{\'a}g",
year = "2014",
month = jun,
day = "29",
doi = "10.21314/JOR.2014.284",
language = "English",
volume = "16",
pages = "53--79",
journal = "Journal of Risk",
issn = "1465-1211",
publisher = "Incisive Media Ltd.",
number = "5",

}

RIS

TY - JOUR

T1 - Diversifying risk parity

AU - Lohre, Harald

AU - Opfer, Heiko

AU - Ország, Gábor

PY - 2014/6/29

Y1 - 2014/6/29

N2 - Striving for maximum diversification we follow the 2009 work of Meucci in measuring and managing a multi-asset class portfolio. Under this paradigm the maximum diversification portfolio is equivalent to a risk parity strategy with respect to the uncorrelated risk sources embedded in the underlying portfolio assets. We characterize the mechanics and properties of this diversified risk parity strategy. Moreover, we explore the risk and diversification characteristics of traditional risk-based asset allocation techniques such as 1/N, minimum-variance or risk parity and show the diversified risk parity strategy to be very meaningful when benchmarked against these alternatives.

AB - Striving for maximum diversification we follow the 2009 work of Meucci in measuring and managing a multi-asset class portfolio. Under this paradigm the maximum diversification portfolio is equivalent to a risk parity strategy with respect to the uncorrelated risk sources embedded in the underlying portfolio assets. We characterize the mechanics and properties of this diversified risk parity strategy. Moreover, we explore the risk and diversification characteristics of traditional risk-based asset allocation techniques such as 1/N, minimum-variance or risk parity and show the diversified risk parity strategy to be very meaningful when benchmarked against these alternatives.

U2 - 10.21314/JOR.2014.284

DO - 10.21314/JOR.2014.284

M3 - Journal article

AN - SCOPUS:84967179555

VL - 16

SP - 53

EP - 79

JO - Journal of Risk

JF - Journal of Risk

SN - 1465-1211

IS - 5

ER -