A Modified Risk Parity Method for Asset Allocation
We propose a return based modification of the portfolio variance matrix for asset allocation using risk parity. The modification is based upon a single scalar parameter which can be tuned to tailor the allocation for desired expected risk and/or return. The present work contributes a new twist on ri...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Tripal Publishing House
2019-03-01
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| Series: | Journal of Economics and Financial Analysis |
| Subjects: | |
| Online Access: | https://ojs.tripaledu.com/index.php/jefa/article/view/44 |