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- W2734654511 abstract "Using sectorial indices of the Brazilian market, we compare the portfolio optimization approach known as risk parity with minimum variance and equally weighted approaches. We apply various estimators for the covariance matrix to each portfolio strategy, since portfolio variance is considered as risk measure. Empirical results demonstrate that the risk parity approach provides more diversified portfolios and stable weights in the out-of-sample than the other two approaches, thereby avoiding the dangers of excessive concentration and reducing transaction costs. Furthermore, the results demonstrate that different estimators of the covariance matrix had little influence on the results obtained through the risk parity approach." @default.
- W2734654511 created "2017-07-21" @default.
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- W2734654511 date "2017-01-01" @default.
- W2734654511 modified "2023-09-26" @default.
- W2734654511 title "Risk Parity in the Brazilian Market" @default.
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- W2734654511 doi "https://doi.org/10.2139/ssrn.3001878" @default.
- W2734654511 hasPublicationYear "2017" @default.
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