PT  - JOURNAL ARTICLE
AU  - Mark Kritzman
TI  - Risk Disparity
AID  - 10.3905/jpm.2013.40.1.040
DP  - 2013 Oct 31
TA  - The Journal of Portfolio Management
PG  - 40--48
VI  - 40
IP  - 1
4099  - https://pm-research.com/content/40/1/40.short
4100  - https://pm-research.com/content/40/1/40.full
AB  - 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’s risk profile.TOPICS: Portfolio theory, risk management, portfolio construction