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Article

Enhancing Risk Parity by Including Views

Daniel Haesen, Winfried G. Hallerbach, Thijs Markwat and Roderick Molenaar
The Journal of Investing Winter 2017, 26 (4) 53-68; DOI: https://doi.org/10.3905/joi.2017.26.4.053
Daniel Haesen
is a researcher at Robeco Asset Management in Rotterdam, the Netherlands
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Winfried G. Hallerbach
is a researcher at Robeco Asset Management in Rotterdam, the Netherlands
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Thijs Markwat
is a researcher at Robeco Asset Management in Rotterdam, the Netherlands
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Roderick Molenaar
is a researcher at Robeco Asset Management in Rotterdam, the Netherlands
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Abstract

Within the finance literature, there is an apparent gap between the inherent ignorance of expected returns of a risk parity approach on the one hand, and the assumed certainty of expected returns in a mean–variance approach on the other. The authors propose a portfolio selection framework that allows an investor to position herself between these two extremes. Depending on the confidence in one’s expected return estimates, the optimal portfolio will be tilted more toward the risk parity portfolio or the mean–variance portfolio. The authors illustrate the framework for an investor in an asset allocation context.

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The Journal of Investing: 26 (4)
The Journal of Investing
Vol. 26, Issue 4
Winter 2017
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Enhancing Risk Parity by Including Views
Daniel Haesen, Winfried G. Hallerbach, Thijs Markwat, Roderick Molenaar
The Journal of Investing Nov 2017, 26 (4) 53-68; DOI: 10.3905/joi.2017.26.4.053

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Enhancing Risk Parity by Including Views
Daniel Haesen, Winfried G. Hallerbach, Thijs Markwat, Roderick Molenaar
The Journal of Investing Nov 2017, 26 (4) 53-68; DOI: 10.3905/joi.2017.26.4.053
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  • Article
    • Abstract
    • RISK PARITY PORTFOLIOS
    • PORTFOLIO CONSTRUCTION AND INFORMATION DEMANDS
    • APPROACHES TO REDUCE THE IMPACT OF UNCERTAINTY SURROUNDING VIEWS
    • DATA
    • MAIN RESULTS
    • ASSET ALLOCATION IN DIFFERENT STATES OF THE WORLD
    • IMPACT OF RISK AVERSION AND SHORT-SALE CONSTRAINTS
    • CONCLUSIONS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
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  • PDF (Subscribers Only)

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