Research and publications
Risk Parity - Rewards Risks and Research Opportunities
Mean-Variance optimisation has come under great criticism recently, based on the poor performance experienced by asset managers during the global financial crisis. In response, an alternative approach, called Risk Parity, which proceeds by equalising risk contributions, has garnered much interest. This paper summarises the work of a group of leading researchers on Risk Parity. A revisited version of this paper was published in the Spring 2011 issue of the Journal of Investing.
Author(s):
Barry Schachter, S. Ramu Thiagarajan
Summary:
Mean-Variance optimisation has come under great criticism recently, based on the poor performance experienced by asset managers during the global financial crisis. In response, an alternative approach, called Risk Parity, which proceeds by equalising risk contributions, has garnered much interest. This paper summarises the work of a group of leading researchers on Risk Parity. A revisited version of this paper was published in the Spring 2011 issue of the Journal of Investing.
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Register/Log in| Type : | Working paper |
|---|---|
| Date : | 01/07/2011 |
| Keywords : |
Risk Management |
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