RECHERCHE ET PUBLICATIONS

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.

Auteur(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.

Type : Working paper
Date : le 06/12/2010
Pôle de recherche Finance

A voir également

Pré-Master de l’EDHEC : entre bilan et nouveautés
Actualités
- 23-06-2022
En 2021, l’année de Pré-Master avait été marquée par de nouvelles évolutions. Hager...
L’EDHEC Global MBA 2e en France, selon le classement The Economist 2022
Actualités
- 22-06-2022
En 2022, The Economist distingue à nouveau l’EDHEC Global MBA en le classant 2e...
La filière droit de l’EDHEC ouvre les portes des plus grands cabinets d’avocats
Actualités
- 22-06-2022
Diplômé de la filière Business Law & Management de l‘EDHEC en 2020, Baptiste...
Le gagnant du Student Dataviz Challenge 2022 est Qiaolong LIN
Actualités
- 21-06-2022
La finale du Student Dataviz Challenge 2022 s’est déroulée à l’EDHEC sur le campus de...