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• W3122073307 startingPage "111" @default.
• W3122073307 abstract "This article investigates a new way of equity portfolio selection that provides maximum diversification along the uncorrelated risk sources inherent in the S&P 500.This diversified risk parity strategy is distinct from prevailing risk-based portfolio construction paradigms. Especially, the strategy is characterized by a concentrated allocation that actively adjusts to changes in the underlying risk structure. In addition, x-raying the risk and diversification characteristics of traditional risk-based strategies like 1/N, minimum-variance, risk parity, or the most-diversified portfolio, the authors find the diversified risk parity strategy to be superior. Although most of these alternatives crucially pick up risk-based pricing anomalies like the low-volatility anomaly, the diversified risk parity strategy more effectively exploits systematic factor tilts. <b>TOPICS:</b>Equity portfolio management, portfolio construction, factor-based models" @default.
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• W3122073307 date "2012-08-31" @default.
• W3122073307 modified "2023-09-26" @default.
• W3122073307 title "Diversified Risk Parity Strategies for Equity Portfolio Selection" @default.
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• W3122073307 doi "https://doi.org/10.3905/joi.2012.21.3.111" @default.
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