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Risk Parity, Maximum Diversification,and Minimum Variance: An Analytic Perspective
15 references·5 citing·42 second hop
Risk Parity, Maximum Diversification,and Minimum Variance: An Analytic Perspective (2013)Risk Parity, Maximum Diversification,and …Betting against beta (2013)Betting against betaWill My Risk Parity Strategy Outperform? (2012)Will My Risk Parity Strategy …Demystifying Equity Risk–Based Strategies: A Simple Alpha plus Beta Description (2012)Demystifying Equity Risk–Base…Risk-Based Asset Allocation: A New Answer to anOld Question? (2011)Risk-Based Asset Allocation: …Minimum-Variance Portfolio Composition (2011)Minimum-Variance Portfolio Co…A Survey of Alternative Equity Index Strategies (2011)A Survey of Alternative Equit…A note on the returns from minimum variance investing (2011)A note on the returns from mi…The Properties of Equally Weighted Risk Contribution Portfolios (2010)The Properties of Equally Wei…Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly (2010)Benchmarks as Limits to Arbit…Toward Maximum Diversification (2008)Toward Maximum DiversificationOptimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…On the Financial Interpretation of Risk Contribution: Risk Budgets Do Add Up (2005)On the Financial Interpretati…ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION (1973)ESTIMATING THE DEPENDENCE STR…The financial analysts journal (1960)The financial analysts journalDiversification and portfolio theory: a review (2020)Diversification and portfolio…On entropy and portfolio diversification (2016)On entropy and portfolio dive…How performance of risk-based strategies is modified by socially responsible investment universe? (2014)How performance of risk-based…Determinants of Levered Portfolio Performance (2014)Determinants of Levered Portf…Low-Risk Investing Without Industry Bets (2013)Low-Risk Investing Without In…Portfolio Selection (1952)The Behavior of Stock-Market Prices (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection (2009)Islamic equity market integration and volatility spillover between emerging and US stock markets (2014)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Multifactor Explanations of Asset Pricing Anomalies (1996)Optimization Methods in Finance (2006)Properties of the most diversified portfolio (2013)PORTFOLIO SELECTION* (1952)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Liquidity Preference as Behavior Towards Risk (1958)An Intertemporal Capital Asset Pricing Model (1973)On the Impossibility of Informationally Efficient Markets (1980)Asset Allocation with Conditional Value-at-Risk Budgets (2012)The Death of Diversification Has Been GreatlyExaggerated (2012)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)The Cross-Section of Expected Stock Returns (1992)Religious beliefs, gambling attitudes, and financial market outcomes (2011)Behavioral Finance (2015)Manager sentiment and stock returns (2018)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Optimal Portfolio Diversification Using the Maximum Entropy Principle (2008)60 Years of portfolio optimization: Practical challenges and current trends (2013)Minimum Connectedness Portfolios and the Market for Green Bonds: Advocating Socially Responsible Investment (SRI) Activity (2022)Dissecting Anomalies with a Five-Factor Model (2015)Replicating Anomalies (2018)Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly (2012)Modelling the persistence of conditional variances (1986)First Impressions Matter: A Model of Confirmatory Bias (1999)Institutional Investors and Equity Prices (2001)
this work references cited by second hop

References

  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2013Betting against beta2,027 cited
  • 1960The financial analysts journal1,043 cited
  • 2010Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly770 cited
  • 2010The Properties of Equally Weighted Risk Contribution Portfolios728 cited
  • 2008Toward Maximum Diversification527 cited
  • 1973ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION280 cited
  • 2011Minimum-Variance Portfolio Composition176 cited
  • 2011Risk-Based Asset Allocation: A New Answer to anOld Question?154 cited
  • 2005On the Financial Interpretation of Risk Contribution: Risk Budgets Do Add Up146 cited
  • 2011A Survey of Alternative Equity Index Strategies131 cited
  • 2011A note on the returns from minimum variance investing120 cited
  • 2012Demystifying Equity Risk–Based Strategies: A Simple Alpha plus Beta Description116 cited
  • 2012Will My Risk Parity Strategy Outperform?112 cited

Cited by

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  • 2020Diversification and portfolio theory: a review105 cited
  • 2013Low-Risk Investing Without Industry Bets91 cited
  • 2016On entropy and portfolio diversification40 cited
  • 2014How performance of risk-based strategies is modified by socially responsible investment universe?32 cited
  • 2014Determinants of Levered Portfolio Performance26 cited