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- W3172059448 abstract "We introduce diversified risk parity embedded with various reward-risk measures and more general allocation rules for portfolio construction. We empirically test advanced reward-risk parity strategies and compare their performance with an equally-weighted risk portfolio in various asset universes. All reward-risk parity strategies we tested exhibit consistent outperformance evidenced by higher average returns, Sharpe ratios, and Calmar ratios. The alternative allocations also reflect less downside risks in Value-at-Risk, conditional Value-at-Risk, and maximum drawdown. In addition to the enhanced performance and reward-risk profile, transaction costs can be reduced by lowering turnover rates. The Carhart four-factor analysis also indicates that the diversified reward-risk parity allocations gain superior performance." @default.
- W3172059448 created "2021-06-22" @default.
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- W3172059448 date "2021-01-01" @default.
- W3172059448 modified "2023-09-23" @default.
- W3172059448 title "Diversified Reward-Risk Parity in Portfolio Construction" @default.
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- W3172059448 doi "https://doi.org/10.2139/ssrn.3871944" @default.
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