Research and publications
Towards Conditional Risk Parity — Improving Risk Budgeting Techniques in Changing Economic Environments
This paper introduces three distinct conditional risk parity strategies, explicitly designed to optimally respond to changes in state variables that have been used in the literature as proxies for the stochastically time-varying opportunity set. In an empirical analysis, the paper documents the superiority in various economic regimes of such conditional risk parity strategies with respect to standard unconditional risk parity techniques.
Author(s):
Lionel Martellini, Vincent Milhau, Andrea Tarelli
Summary:
This paper introduces three distinct conditional risk parity strategies, explicitly designed to optimally respond to changes in state variables that have been used in the literature as proxies for the stochastically time-varying opportunity set. In an empirical analysis, the paper documents the superiority in various economic regimes of such conditional risk parity strategies with respect to standard unconditional risk parity techniques.
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Register/Log in| Type : | EDHEC Publication |
|---|---|
| Date : | 24/04/2014 |
| Keywords : |
Risk Management |
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