This study proposes a principal alpha-style factor integrated risk parity strategy that can
diversify style risk factors and the stock selection risk of external managers in Fund-of-Funds …

In general portfolio optimization is a technique for selecting the proportion of assets to make
a better portfolio by maximizing the expectation return while also minimizing the risk. In this …

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 …

It is common practice to refer to a factor premium's current valuation when assessing its
attractiveness—in effect using a single-value-factor model to gauge whether the factor is …

The value premium as measured by the “high minus low” returns from the Fama and French
database has been negative or statistically indistinguishable from zero for the past decade …

In this article, the authors provide a flexible and adaptive framework that allows one to
construct a suite of long-only smart beta portfolios over a spectrum of risk characteristics …

Portfolio Optimization involves choosing proportions of assets to be held in a portfolio, so as
to make the portfolio better than any other. In this research, we use a software for statistical …

We consider the risk parity strategy in the presence of estimation errors. We show that risk
contributions from constituents of this portfolio can be considerably sensitive to estimation …

We investigate the impact of shrinkage estimation techniques for the moments of asset
returns on risk-parity portfolios. In contrast to mean-variance portfolios, the risk contributions …

We study the equal risk contribution (ERC) investment strategies exploring how these
portfolios perform relative to traditional risk-only (minimum variance portfolio), risk–return …