Hierarchical Risk Parity: Accounting for Tail Dependencies in Multi‐asset Multi‐factor Allocations

Machine Learning for Asset Management ◽

10.1002/9781119751182.ch9 ◽

2020 ◽

pp. 329-368 ◽

Author(s):

Harald Lohre ◽

Carsten Rother ◽

Kilian Axel Schäfer

Keyword(s):

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The Case for Risk Parity as an Alternative Strategy for Asset Allocation in Real Estate Portfolios

Proceedings of the 20th Annual European Real Estate Society Conference - Vienna, Austria ◽

10.15396/eres2013_294 ◽

2013 ◽

Keyword(s):

Real Estate ◽

Asset Allocation ◽

Alternative Strategy ◽

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At Par with Risk Parity?

CFA Institute Conference Proceedings Quarterly ◽

10.2469/cp.v28.n3.6 ◽

2011 ◽

Vol 28 (3) ◽

pp. 67-73

Author(s):

Samuel Kunz

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Risk Parity: Classical Finance Properly Implemented, or Misunderstood?

Financial Analysts Journal ◽

10.2469/faj.v66.n5.12 ◽

2010 ◽

Vol 66 (5) ◽

pp. 15-16 ◽

Author(s):

Laurence B. Siegel

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Risk Parity, Maximum Diversification, and Minimum Variance: An Analytic Perspective

SSRN Electronic Journal ◽

10.2139/ssrn.1977577 ◽

2012 ◽

Author(s):

Roger Clarke ◽

Harindra de Silva ◽

Steven Thorley

Keyword(s):

Minimum Variance ◽

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Risk Parity and the Limits of Leverage

SSRN Electronic Journal ◽

10.2139/ssrn.2042856 ◽

2012 ◽

Author(s):

Michael D. Sebastian

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Risk-Parity and Ambiguity

SSRN Electronic Journal ◽

10.2139/ssrn.2456442 ◽

2014 ◽

Author(s):

Alexey Medvedev

Keyword(s):

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Uncertain Risk Parity

SSRN Electronic Journal ◽

10.2139/ssrn.3406321 ◽

2019 ◽

Author(s):

Anish Shah

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Reduction of estimation error impact in the risk parity strategies

Quantitative Finance ◽

10.1080/14697688.2021.1881599 ◽

2021 ◽

pp. 1-14

Author(s):

Hyuksoo Kim ◽

Saejoon Kim

Keyword(s):

Estimation Error ◽

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Second-Order Risk of Alternative Risk Parity Strategies

SSRN Electronic Journal ◽

10.2139/ssrn.3090624 ◽

2017 ◽

Author(s):

Simone Bernardi ◽

Markus Leippold ◽

Harald Lohre

Keyword(s):

Second Order ◽

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Least-Squares Approach to Risk Parity in Portfolio Selection

SSRN Electronic Journal ◽

10.2139/ssrn.2343406 ◽

2013 ◽

Author(s):

Xi Bai ◽

Katya Scheinberg ◽

Reha Tutuncu

Keyword(s):

Least Squares ◽

Portfolio Selection ◽

Risk Parity ◽

Least Squares Approach

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