Construct · 1 fields · 1 citations

risk parity: a standalone construct

One name. One construct. A landmark on the map.

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risk parity1 CONSTRUCTRisk parityMAILLARD · FINANCE

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Finance

portfolio construction rule that sets weights so each asset contributes the same share of total portfolio risk.

In finance, risk parity refers to portfolio construction rule that sets weights so each asset contributes the same share of total portfolio risk. This meaning comes from Maillard (2010) in The Journal of Portfolio Management.[1]

Unit
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Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructsconstruction2 fields · 3 citationsjingle · one word, two carriersparity4 fields · 5 citationsjingle · one word, four constructs

References

  1. Maillard, S., Roncalli, T., & Teïletche, J. (2010). The Properties of Equally Weighted Risk Contribution Portfolios. The Journal of Portfolio Management, 36(4), 60-70. https://doi.org/10.3905/jpm.2010.36.4.060

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