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Risk Parity Portfolio vs. Other Asset Allocation Heuristic Portfolios
Denis Biangolino Chaves / Feifei Li / Jason C. Hsu / Omid Shakernia
portfolio management / portfolio optimizationResource overview

Risk Parity Portfolio vs. Other Asset Allocation Heuristic Portfolios

Paper2011

by Denis Biangolino Chaves, Feifei Li, Jason C. Hsu, Omid Shakernia

Tags
portfolio managementportfolio optimization

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Suggested foundations for portfolio construction. Specialist prerequisites vary by paper.

Before you read

  1. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  2. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

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  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

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