Risk Parity Optimization

Dany Cajas
Additional contact information
Dany Cajas: Orenji EIRL

Chapter Chapter 10 in Advanced Portfolio Optimization, 2025, pp 277-306 from Springer

Abstract: Abstract This chapter explains the risk parity portfolio models that became popular after the great financial crisis in 2008 as a type of all weather portfolios. These types of portfolios, unlike return-risk trade-off models, split the risk among assets instead of splitting the budget among assets; for this reason these models are also called risk budgeting portfolio models. They are mainly used to aggregate several kinds of strategies because by their design they assign a weight to all assets and are not suited for a large number of assets. These models are more robust than classic return-risk trade-off portfolios because their optimal asset allocation is closer to the equally weighted portfolio than to the efficient frontier.

Date: 2025
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-84304-4_10

Ordering information: This item can be ordered from
http://www.springer.com/9783031843044

DOI: 10.1007/978-3-031-84304-4_10

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().