Home > Research > Publications & Outputs > Diversifying Risk Parity

Research

Associated organisational unit

Links

Text available via DOI:

Keywords

View graph of relations

Diversifying Risk Parity: In Today, Out Tomorrow?

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

Published

Standard

Diversifying Risk Parity: In Today, Out Tomorrow? / Lohre, Harald; Opfer, Heiko; Ország, Gábor.
Risk-Based and Factor Investing. ISTE Press, 2015. p. 97-122.

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

Harvard

Lohre, H, Opfer, H & Ország, G 2015, Diversifying Risk Parity: In Today, Out Tomorrow? in Risk-Based and Factor Investing. ISTE Press, pp. 97-122. https://doi.org/10.1016/B978-1-78548-008-9.50004-6

APA

Lohre, H., Opfer, H., & Ország, G. (2015). Diversifying Risk Parity: In Today, Out Tomorrow? In Risk-Based and Factor Investing (pp. 97-122). ISTE Press. https://doi.org/10.1016/B978-1-78548-008-9.50004-6

Vancouver

Lohre H, Opfer H, Ország G. Diversifying Risk Parity: In Today, Out Tomorrow? In Risk-Based and Factor Investing. ISTE Press. 2015. p. 97-122 doi: 10.1016/B978-1-78548-008-9.50004-6

Author

Lohre, Harald ; Opfer, Heiko ; Ország, Gábor. / Diversifying Risk Parity : In Today, Out Tomorrow?. Risk-Based and Factor Investing. ISTE Press, 2015. pp. 97-122

Bibtex

@inbook{a899249345fd4e0fbc790c0d79f1abdb,
title = "Diversifying Risk Parity: In Today, Out Tomorrow?",
abstract = "Striving for maximum diversification, we follow 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 and risk parity and demonstrate the diversified risk parity strategy to be quite meaningful when benchmarked against these alternatives. Finally, we demonstrate the benefits of diversification when backtesting risk-based investment strategies in a simulated environment of rising interest rates.",
keywords = "Asset allocation, Data, Diversification, Interest rate, Portfolios, Risk parity, Risk-based asset, Statistics",
author = "Harald Lohre and Heiko Opfer and G{\'a}bor Orsz{\'a}g",
year = "2015",
month = nov,
day = "19",
doi = "10.1016/B978-1-78548-008-9.50004-6",
language = "English",
isbn = "9781785480089",
pages = "97--122",
booktitle = "Risk-Based and Factor Investing",
publisher = "ISTE Press",

}

RIS

TY - CHAP

T1 - Diversifying Risk Parity

T2 - In Today, Out Tomorrow?

AU - Lohre, Harald

AU - Opfer, Heiko

AU - Ország, Gábor

PY - 2015/11/19

Y1 - 2015/11/19

N2 - Striving for maximum diversification, we follow 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 and risk parity and demonstrate the diversified risk parity strategy to be quite meaningful when benchmarked against these alternatives. Finally, we demonstrate the benefits of diversification when backtesting risk-based investment strategies in a simulated environment of rising interest rates.

AB - Striving for maximum diversification, we follow 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 and risk parity and demonstrate the diversified risk parity strategy to be quite meaningful when benchmarked against these alternatives. Finally, we demonstrate the benefits of diversification when backtesting risk-based investment strategies in a simulated environment of rising interest rates.

KW - Asset allocation

KW - Data

KW - Diversification

KW - Interest rate

KW - Portfolios

KW - Risk parity

KW - Risk-based asset

KW - Statistics

U2 - 10.1016/B978-1-78548-008-9.50004-6

DO - 10.1016/B978-1-78548-008-9.50004-6

M3 - Chapter

AN - SCOPUS:84967163414

SN - 9781785480089

SP - 97

EP - 122

BT - Risk-Based and Factor Investing

PB - ISTE Press

ER -