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The Properties of Alpha Risk Parity Portfolios

Entropy (Basel, Switzerland), 2022-11, Vol.24 (11), p.1631 [Peer Reviewed Journal]

COPYRIGHT 2022 MDPI AG ;2022 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;2022 by the authors. 2022 ;ISSN: 1099-4300 ;EISSN: 1099-4300 ;DOI: 10.3390/e24111631 ;PMID: 36359721

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  • Title:
    The Properties of Alpha Risk Parity Portfolios
  • Author: Gava, Jérôme ; Turc, Julien
  • Subjects: Antisymmetry ; Banking industry ; Budgeting ; Budgets ; Entropy ; Financial leverage ; generalized entropy ; information theory ; Investment analysis ; Parity ; Portfolio management ; portfolio optimization ; Risk ; risk budgeting ; risk parity ; statistical divergence ; Volatility
  • Is Part Of: Entropy (Basel, Switzerland), 2022-11, Vol.24 (11), p.1631
  • Description: Risk parity is an approach to investing that aims to balance risk evenly across assets within a given universe. The aim of this study is to unify the most commonly-used approaches to risk parity within a single framework. Links between these approaches have been identified in the published literature. A key point in risk parity is being able to identify and control the contribution of each asset to the risk of the portfolio. With alpha risk parity, risk contributions are given by a closed-form formula. There is a form of antisymmetry—or self-duality—in alpha risk portfolios that lie between risk budgeting and minimum-risk portfolios. Techniques from information geometry play a key role in establishing these properties.
  • Publisher: Basel: MDPI AG
  • Language: English
  • Identifier: ISSN: 1099-4300
    EISSN: 1099-4300
    DOI: 10.3390/e24111631
    PMID: 36359721
  • Source: Geneva Foundation Free Medical Journals at publisher websites
    PubMed Central
    ROAD: Directory of Open Access Scholarly Resources
    ProQuest Central
    DOAJ Directory of Open Access Journals
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