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Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions
16 references·0 citing·33 second hop
Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions (2013)Risk Parity and Beyond - From Asset Alloc…The Properties of Equally Weighted Risk Contribution Portfolios (2010)The Properties of Equally Wei…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2002)Risk Reduction in Large Portf…Long-Term Global Market Correlations (2001)Long-Term Global Market Corre…Global Portfolio Optimization (1992)Global Portfolio OptimizationHow Many Stocks Make a Diversified Portfolio? (1987)How Many Stocks Make a Divers…On Estimating the Expected Return on the Market: An Exploratory Investigation (1980)On Estimating the Expected Re…On estimating the expected return on the market (1980)On estimating the expected re…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS* (1968)DIVERSIFICATION AND THE REDUC…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Sparse and stable Markowitz portfolios (2009)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Shrinking the cross-section (2019)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)Industry costs of equity (1997)Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)International Stock Return Comovements (2005)High dimensional covariance matrix estimation using a factor model (2008)A Simplified Model for Portfolio Analysis (1963)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Conditional value-at-risk for general loss distributions (2002)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 2001Long-Term Global Market Correlations783 cited
  • 1980On Estimating the Expected Return on the Market: An Exploratory Investigation755 cited
  • 2010The Properties of Equally Weighted Risk Contribution Portfolios728 cited
  • 1987How Many Stocks Make a Diversified Portfolio?609 cited
  • 1968DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS*

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588 cited
  • 2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps535 cited
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