@article {Sorensen23, author = {Eric H. Sorensen and Nicholas F. Alonso}, title = {The Resale Value of Risk-Parity Equity Portfolios}, volume = {41}, number = {2}, pages = {23--32}, year = {2015}, doi = {10.3905/jpm.2015.41.2.023}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This article examines the application of risk parity to fully diversify an equity portfolio. It presents wealth accumulation in a stochastic dominance framework, tested over increasing investment horizons. The portfolio construction algorithms consider sector, country, and stocks in achieving an alternative to capitalization-weighted approaches. Risk parity is dominant over 75\% of the historical periods for any two-year horizon and is dominant in all cases after six-year horizons. It achieves dominance over capitalization-weighted indices over shorter horizons during periods of higher market volatility, periods of higher inflation, and periods with steep yield curves.TOPICS: Equity portfolio management, commodities, analysis of individual factors/risk premia}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/41/2/23}, eprint = {https://jpm.pm-research.com/content/41/2/23.full.pdf}, journal = {The Journal of Portfolio Management} }