An empirical risk and performance analysis of risk parity

Detalhes bibliográficos
Autor(a) principal: Trucksaess, Constantin Leopold Franz Theodor
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/144690
Resumo: This research is conceptualized to provide a comprehensive understanding of the weight allocation mechanism of risk parity. The reader clearly understands why under the equal risk contribution constraint: 1) the asset allocation varies over time, 2) certain assets are penalized, and 3) a risk protection shield is provided. Risk parity is then compared to other robust portfolio strategies based on numerous risk and performance metrics. These back tests cover two sample periods in which risk parity over performs and underperforms. The critical findings are incorporated in a portfolio optimization using a regime-switching signal and trend-following, resulting in superior results in both periods.
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spelling An empirical risk and performance analysis of risk parityRisk managementRisk parityDiversificationPortfolio constructionRisk-based allocationEqual risk contributionNaïve risk parityMinimum varianceDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis research is conceptualized to provide a comprehensive understanding of the weight allocation mechanism of risk parity. The reader clearly understands why under the equal risk contribution constraint: 1) the asset allocation varies over time, 2) certain assets are penalized, and 3) a risk protection shield is provided. Risk parity is then compared to other robust portfolio strategies based on numerous risk and performance metrics. These back tests cover two sample periods in which risk parity over performs and underperforms. The critical findings are incorporated in a portfolio optimization using a regime-switching signal and trend-following, resulting in superior results in both periods.Prado, MelissaRUNTrucksaess, Constantin Leopold Franz Theodor2022-10-14T09:12:28Z2022-01-252021-12-172022-01-25T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/144690TID:203062809enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:24:30Zoai:run.unl.pt:10362/144690Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:51:41.836464Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv An empirical risk and performance analysis of risk parity
title An empirical risk and performance analysis of risk parity
spellingShingle An empirical risk and performance analysis of risk parity
Trucksaess, Constantin Leopold Franz Theodor
Risk management
Risk parity
Diversification
Portfolio construction
Risk-based allocation
Equal risk contribution
Naïve risk parity
Minimum variance
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short An empirical risk and performance analysis of risk parity
title_full An empirical risk and performance analysis of risk parity
title_fullStr An empirical risk and performance analysis of risk parity
title_full_unstemmed An empirical risk and performance analysis of risk parity
title_sort An empirical risk and performance analysis of risk parity
author Trucksaess, Constantin Leopold Franz Theodor
author_facet Trucksaess, Constantin Leopold Franz Theodor
author_role author
dc.contributor.none.fl_str_mv Prado, Melissa
RUN
dc.contributor.author.fl_str_mv Trucksaess, Constantin Leopold Franz Theodor
dc.subject.por.fl_str_mv Risk management
Risk parity
Diversification
Portfolio construction
Risk-based allocation
Equal risk contribution
Naïve risk parity
Minimum variance
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Risk management
Risk parity
Diversification
Portfolio construction
Risk-based allocation
Equal risk contribution
Naïve risk parity
Minimum variance
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This research is conceptualized to provide a comprehensive understanding of the weight allocation mechanism of risk parity. The reader clearly understands why under the equal risk contribution constraint: 1) the asset allocation varies over time, 2) certain assets are penalized, and 3) a risk protection shield is provided. Risk parity is then compared to other robust portfolio strategies based on numerous risk and performance metrics. These back tests cover two sample periods in which risk parity over performs and underperforms. The critical findings are incorporated in a portfolio optimization using a regime-switching signal and trend-following, resulting in superior results in both periods.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-10-14T09:12:28Z
2022-01-25
2022-01-25T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/144690
TID:203062809
url http://hdl.handle.net/10362/144690
identifier_str_mv TID:203062809
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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