In this paper, a risk parity strategy based on portfolio kurtosis as reference measure is
introduced. This strategy allocates the asset weights in a portfolio in a manner that allows an …

Risk parity is an allocation method used to build diversified portfolios that does not rely on
any assumptions of expected returns, thus placing risk management at the heart of the …

Exposures to risk factors, as opposed to individual securities or bonds, can lead to an ex-
ante improved risk management and a more transparent and cheaper way of developing …

This article proposes a generalized expected shortfall risk-budgeting investing framework,
which offers a simple and flexible way to deal with various risks beyond volatility—namely …

Risk parity is an allocation method used to build diversified portfolios that does not rely on
any assumptions of expected returns, thus placing risk management at the heart of the …

In Markowitz's (1952) portfolio theory, a reduction in volatility for a given level of expected
return is implied as being equivalent to an increase in diversification. The recent …

Purpose In asset management, what if clients want to purchase protection from risk factors,
under the form of variance risk premia. This paper aims to address this topic by developing a …

Bond returns have declined to levels that have rarely been seen in the past. In this paper,
beyond the implications of lower expected returns, we emphasise the increased risk of …

This paper explores extensive asset allocation possibilities and asset pricing tests shedding
light into the cross-sectional and time-varying nature of combining multi-asset alternative risk …