@article {Kritzman40, author = {Mark Kritzman}, title = {Risk Disparity}, volume = {40}, number = {1}, pages = {40--48}, year = {2013}, doi = {10.3905/jpm.2013.40.1.040}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Investors seek to grow their wealth over time and avoid large draw-downs along the way, but these goals conflict. A policy portfolio serves as an expression of how investors balance these conflicting goals. A policy portfolio that maintains constant asset weights, however, experiences significant inter-temporal disparity in its risk profile, thereby defeating the purpose for which it is intended. This article offers evidence of inter-temporal risk disparity and shows how investors can use measures of intrinsic portfolio fragility and extrinsic market fragility to stabilize a portfolio{\textquoteright}s risk profile.TOPICS: Portfolio theory, risk management, portfolio construction}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/40/1/40}, eprint = {https://jpm.pm-research.com/content/40/1/40.full.pdf}, journal = {The Journal of Portfolio Management} }