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...

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Bibliographic Details
Main Author: Trucksaess, Constantin Leopold Franz Theodor (author)
Format: masterThesis
Language:eng
Published: 2022
Subjects:
Risk management
Risk parity
Diversification
Portfolio construction
Risk-based allocation
Equal risk contribution
Naïve risk parity
Minimum variance
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Online Access:http://hdl.handle.net/10362/144690
Country:Portugal
Oai:oai:run.unl.pt:10362/144690

Internet

http://hdl.handle.net/10362/144690

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