Risk Parity: How Much Data Should We Use When Estimating Volatilities and Correlations?
December 13, 2017 at 06:00 AM EST
By Justin Sibears, Newfound Research Generally speaking, risk parity portfolios attempt to diversify across asset classes and strategies by risk contribution as opposed to dollar allocation. The classic argument for risk parity typically begins by noting that many traditional portfolios (e.g. the...