@article {Haesen53, author = {Daniel Haesen and Winfried G. Hallerbach and Thijs Markwat and Roderick Molenaar}, title = {Enhancing Risk Parity by Including Views}, volume = {26}, number = {4}, pages = {53--68}, year = {2017}, doi = {10.3905/joi.2017.26.4.053}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Within the finance literature, there is an apparent gap between the inherent ignorance of expected returns of a risk parity approach on the one hand, and the assumed certainty of expected returns in a mean{\textendash}variance approach on the other. The authors propose a portfolio selection framework that allows an investor to position herself between these two extremes. Depending on the confidence in one{\textquoteright}s expected return estimates, the optimal portfolio will be tilted more toward the risk parity portfolio or the mean{\textendash}variance portfolio. The authors illustrate the framework for an investor in an asset allocation context.TOPICS: Portfolio construction, statistical methods}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/26/4/53}, eprint = {https://joi.pm-research.com/content/26/4/53.full.pdf}, journal = {The Journal of Investing} }