RT Journal Article
SR Electronic
T1 The Risk in Risk Parity: A Factor-Based Analysis
of Asset-Based Risk Parity
JF The Journal of Investing
FD Institutional Investor Journals
SP 102
OP 110
DO 10.3905/joi.2012.21.3.102
VO 21
IS 3
A1 Vineer Bhansali
A1 Josh Davis
A1 Graham Rennison
A1 Jason Hsu
A1 Feifei Li
YR 2012
UL https://pm-research.com/content/21/3/102.abstract
AB The risks embedded in asset-based risk parity portfolios are explored using a simple, economically motivated approach. Such an approach can go a long way toward demystifying and making more explicit the drivers of performance and risks of asset-based risk parity portfolios. Investors in risk parity can use this approach for more robust portfolio construction and for benchmarking and differentiating various risk parity approaches.TOPICS: Portfolio management, real assets/alternative investments/private equity, portfolio construction