Risk Parity Fundamentals

Risk Parity Fundamentals
Author: Edward E. Qian
Publsiher: CRC Press
Total Pages: 246
Release: 2016-02-10
Genre: Business & Economics
ISBN: 9781498738804

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Discover the Benefits of Risk Parity InvestingDespite recent progress in the theoretical analysis and practical applications of risk parity, many important fundamental questions still need to be answered. Risk Parity Fundamentals uses fundamental, quantitative, and historical analysis to address these issues, such as:What are the macroeconomic dime

Introduction to Risk Parity and Budgeting

Introduction to Risk Parity and Budgeting
Author: Thierry Roncalli
Publsiher: CRC Press
Total Pages: 440
Release: 2016-04-19
Genre: Business & Economics
ISBN: 9781482207163

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Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies. Written by a well-known expert of asset management and risk parity, Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy. The first part of the book gives a theoretical account of portfolio optimization and risk parity. The author discusses modern portfolio theory and offers a comprehensive guide to risk budgeting. Each chapter in the second part presents an application of risk parity to a specific asset class. The text covers risk-based equity indexation (also called smart beta) and shows how to use risk budgeting techniques to manage bond portfolios. It also explores alternative investments, such as commodities and hedge funds, and applies risk parity techniques to multi-asset classes. The book’s first appendix provides technical materials on optimization problems, copula functions, and dynamic asset allocation. The second appendix contains 30 tutorial exercises. Solutions to the exercises, slides for instructors, and Gauss computer programs to reproduce the book’s examples, tables, and figures are available on the author’s website.

Risk Based and Factor Investing

Risk Based and Factor Investing
Author: Emmanuel Jurczenko
Publsiher: Elsevier
Total Pages: 486
Release: 2015-11-24
Genre: Business & Economics
ISBN: 9780081008119

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This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFI Features contributions from leading academics and practitioners in this field Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students

The Permanent Portfolio

The Permanent Portfolio
Author: Craig Rowland,J. M. Lawson
Publsiher: John Wiley & Sons
Total Pages: 352
Release: 2012-09-05
Genre: Business & Economics
ISBN: 9781118331569

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An up close look at an investment strategy that can handle today's uncertain financial environment Market uncertainty cannot be eliminated. So rather than attempt to do away with it, why not embrace it? That is what this book is designed to do. The Permanent Portfolio takes you through Harry Browne's Permanent Portfolio approach—which can weather a wide range of economic conditions from inflation and deflation to recession—and reveals how it can help investors protect and grow their money. Written by Craig Rowland and Mike Lawson, this reliable resource demonstrates everything from a straightforward four-asset Exchange Traded Fund (ETF) version of the strategy all the way up to a sophisticated approach using Swiss bank storage of selected assets for geographic and political diversification. In all cases, the authors provide step-by-step guidance based upon personal experience. This timeless strategy is supported by more than three decades of empirical evidence The authors skillfully explain how to incorporate the ideas of the Permanent Portfolio into your financial endeavors in order to maintain, protect, and grow your money Includes select updates of Harry Browne's Permanent Portfolio approach, which reflect our changing times The Permanent Portfolio is an essential guide for investors who are serious about building a better portfolio.

Advances in Risk Parity Portfolio Optimization

Advances in Risk Parity Portfolio Optimization
Author: Giorgio Costa Del Pozo
Publsiher: Unknown
Total Pages: 0
Release: 2021
Genre: Electronic Book
ISBN: OCLC:1334506961

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Risk parity is an asset allocation strategy that seeks to equalize the risk contributions of the constituent assets in a portfolio. The resulting portfolio is fully diversified from a risk perspective. However, like other asset allocation strategies, risk parity is susceptible to estimation errors. Moreover, its mathematical formulation imposes some fundamental limitations. This thesis aims to modernize risk parity by addressing all of the aforementioned issues. We address the susceptibility to estimation errors through three different frameworks. First, we introduce a robust framework that quantifies estimation error and embeds this information during optimization to construct a robust risk parity portfolio. Our second framework takes a different approach, introducing robustness during the parameter estimation step. This is formulated as a game-theoretic minimax problem to make an optimal investment decision against the most adversarial estimate of our parameters. Our third framework improves the quality of our estimated parameters before optimization takes place. We posit that we can embed the cyclical information of financial markets directly into our estimates, resulting in risk parity portfolios aligned with the current market regime. The result is a Markov regime-switching factor model of asset returns from which we can naturally derive regime-dependent parameters for use during optimization. The final component of this thesis addresses the fundamental limitations of risk parity: its lack of accountability for the investor's risk and reward appetite and its prohibition of short sales. We propose a generalized risk parity framework where the investor's risk and reward appetite define our objective, while still enforcing a desirable degree of risk-based diversification. Moreover, we propose an algorithm that allows us to consider portfolios with short positions. Thus, our generalized framework addresses the fundamental limitations of risk parity while retaining the desirable property of risk-based diversification. The frameworks proposed in this thesis can be used independently or in tandem, depending on the investor's needs and goals. The unifying subject of this thesis is to advance risk parity by addressing its fundamental weaknesses. This is achieved by proposing different frameworks and algorithms, with the overarching property of preserving the interpretability and computational tractability of our solutions.

Factor Investing

Factor Investing
Author: Emmanuel Jurczenko
Publsiher: Elsevier
Total Pages: 480
Release: 2017-10-17
Genre: Business & Economics
ISBN: 9780081019641

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This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing. The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies.Each chapter deals with new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing. A practical scope An extensive coverage and up-to-date researcch contributions Covers the topic of factor investing strategies which are increasingly popular amongst practitioners

Portfolio Rebalancing

Portfolio Rebalancing
Author: Edward E. Qian
Publsiher: CRC Press
Total Pages: 248
Release: 2018-12-07
Genre: Mathematics
ISBN: 9781498732451

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The goal of Portfolio Rebalancing is to provide mathematical and empirical analysis of the effects of portfolio rebalancing on portfolio returns and risks. The mathematical analysis answers the question of when and why fixed-weight portfolios might outperform buy-and-hold portfolios based on volatilities and returns. The empirical analysis, aided by mathematical insights, will examine the effects of portfolio rebalancing in capital markets for asset allocation portfolios and portfolios of stocks, bonds, and commodities.

Risk Parity

Risk Parity
Author: Alex Shahidi
Publsiher: John Wiley & Sons
Total Pages: 224
Release: 2021-11-23
Genre: Business & Economics
ISBN: 9781119812562

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Target high returns and greater consistency with this insightful guide from a leading investor The market volatility exacerbated by the COVID-19 pandemic has led many to question their exposure to risk in their own portfolios. But what should one do about it? In Risk Parity: How to Invest for All Market Environments, accomplished investment consultant Alex Shahidi delivers a powerful approach to portfolio management that reduces the potential for significant capital loss while maintaining an attractive expected return. The book focuses on allocating capital amongst four diverse asset classes: equities, commodities, Treasury bonds, and Treasury Inflation Protected Securities. You’ll learn about: The nature of risk and why traditional approaches to risk management unnecessarily give up potential returns or inadequately protect against catastrophic market events Why proper risk management is more important now than ever How to efficiently implement a risk parity approach Perfect for both individual and professional investors, Risk Parity is a must-have resource for anyone seeking to increase consistency in their portfolio by building a truly balanced asset allocation.