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Baitinger et al., 2017 - Google Patents

Extending the risk parity approach to higher moments: Is there any value added?

Baitinger et al., 2017

Document ID
18130251255352737862
Author
Baitinger E
Dragosch A
Topalova A
Publication year
Publication venue
Journal of Portfolio Management

External Links

Snippet

The popular risk parity approach is based on volatility as the sole risk measure and therefore lacks the consideration of tail risk. This fact makes risk parity portfolios vulnerable to tail events. In this article, the authors address this issue by showing how higher-risk-moment …
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