Risk Parity – Rewards Risks and Research Opportunities

Mean-Variance optimisation has come under great criticism recently, based on the poor performance experienced by asset managers during the global financial crisis.

Author(s):

Barry Schachter

Chief Risk officer, Woodbine Capital Advisors

S. Ramu Thiagarajan

Professor of Finance, Tulane University

In response, an alternative approach, called Risk Parity, which proceeds by equalising risk contributions, has garnered much interest. In this paper we summarise the work of a group of leading researchers on Risk Parity chosen for this special issue. We also survey more generally what is known about this approach. While Risk Parity has intuitive appeal and has performed well over some historical time periods, it is premature to claim the superiority of Risk Parity over other asset allocation approaches. We raise several conceptual and practical questions about Risk Parity, which we think are worthy of additional research.

Pdf

Risk Parity – Rewards Risks and Research Opportunities...

(-1.00 B)

Type:	Working paper
Date:	le 06/12/2010
Extra information :	For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ joanne.finlay@edhec.edu ] The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.
Research Cluster :	Finance

About EDHEC

Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 15 European business schools, ranked 1st worldwide for its Master in Finance. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or create successful businesses wherever they work.
EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.

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string(15) "field_documents" ["#theme"]=> string(6) "entity" ["#entity"]=> object(FieldCollectionItemEntity)#281 (24) { ["fieldInfo":protected]=> NULL ["hostEntity":protected]=> object(stdClass)#216 (39) { ["vid"]=> string(5) "10410" ["uid"]=> string(1) "0" ["title"]=> string(56) "Risk Parity – Rewards Risks and Research Opportunities" ["log"]=> string(0) "" ["status"]=> string(1) "1" ["comment"]=> string(1) "0" ["promote"]=> string(1) "0" ["sticky"]=> string(1) "0" ["vuuid"]=> string(36) "59b0808f-3eb4-42d2-aa72-d85392d91765" ["nid"]=> string(5) "10410" ["type"]=> string(11) "publication" ["language"]=> string(3) "und" ["created"]=> string(10) "1474027716" ["changed"]=> string(10) "1480342489" ["tnid"]=> string(1) "0" ["translate"]=> string(1) "0" ["uuid"]=> string(36) "8d9cac0a-29c5-4f36-ad0f-17d7fb19a928" ["revision_timestamp"]=> string(10) "1480342489" ["revision_uid"]=> string(1) "1" ["body"]=> array(1) { ["und"]=> array(1) { [0]=> array(3) { ["value"]=> string(677) " In response, an alternative approach, called Risk Parity, which proceeds by equalising risk contributions, has garnered much interest. In this paper we summarise the work of a group of leading researchers on Risk Parity chosen for this special issue. We also survey more generally what is known about this approach. While Risk Parity has intuitive appeal and has performed well over some historical time periods, it is premature to claim the superiority of Risk Parity over other asset allocation approaches. We raise several conceptual and practical questions about Risk Parity, which we think are worthy of additional research. " ["summary"]=> string(163) "Mean-Variance optimisation has come under great criticism recently, based on the poor performance experienced by asset managers during the global financial crisis." 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Global Macro Investing: Theory and Practice (2012), Quantitative Finance (2012), Risk (2000 ; 2003 ; 2005 ; 2006 ; 2010 ; 2011 ; 2012), Intelligent Risk (2012), Journal of Investing (2011), Risk (2010)

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In this paper we summarise the work of a group of leading researchers on Risk Parity chosen for this special issue. We also survey more generally what is known about this approach. While Risk Parity has intuitive appeal and has performed well over some historical time periods, it is premature to claim the superiority of Risk Parity over other asset allocation approaches. We raise several conceptual and practical questions about Risk Parity, which we think are worthy of additional research. " ["summary"]=> string(163) "Mean-Variance optimisation has come under great criticism recently, based on the poor performance experienced by asset managers during the global financial crisis." 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For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ joanne.finlay@edhec.edu ]

The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.

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Risk Parity – Rewards Risks and Research Opportunities

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