An empirical risk and performance analysis of risk parity
This research is conceptualized to provide a comprehensive understanding of the weight allocation mechanism of risk parity. The reader clearly understands why under the equal risk contribution constraint: 1) the asset allocation varies over time, 2) certain assets are penalized, and 3) a risk protec...
| Autor principal: | |
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| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2022
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10362/144690 |
| País: | Portugal |
| Oai: | oai:run.unl.pt:10362/144690 |