Risk Parity Fundamentals
Auteur : Qian Edward E.
Discover the Benefits of Risk Parity Investing
Despite recent progress in the theoretical analysis and practical applications of risk parity, many important fundamental questions still need to be answered. Risk Parity Fundamentals uses fundamental, quantitative, and historical analysis to address these issues, such as:
- What are the macroeconomic dimensions of risk in risk parity portfolios?
- What are the appropriate risk premiums in a risk parity portfolio?
- What are market environments in which risk parity might thrive or struggle?
- What is the role of leverage in a risk parity portfolio?
An experienced researcher and portfolio manager who coined the term "risk parity," the author provides investors with a practical understanding of the risk parity investment approach. Investors will gain insight into the merit of risk parity as well as the practical and underlying aspects of risk parity investing.
An Introduction to Risk Parity Principle. The "Colors" of Risk Premiums. The "Death" of Interest Rate Risk Premium. See the Forest for the Trees. The "Peculiarity" of Risk Parity Portfolios. History Lessons. The "Wild West" of Risk Parity. Risk Parity Everywhere: Much of a Good Thing Is a Great Thing.
Edward E. Qian, PhD, CFA, is the chief investment officer and head of research of the Multi Asset Group at PanAgora Asset Management. He was previously a postdoctoral researcher in astrophysics at the University of Leiden in the Netherlands, and a National Science Foundation Postdoctoral Mathematical Research Fellow at the Massachusetts Institute of Technology (MIT). Dr. Qian has made substantial contributions to risk parity investment strategies and quantitative equity portfolio management. He coined the term "risk parity" and pioneered the use of portfolio theory for evaluating alpha factors and constructing multifactor models. He is the coauthor of the highly praised Chapman & Hall/CRC book Quantitative Equity Portfolio Management: Modern Techniques and Applications. Dr. Qian earned a BS in mathematics from Peking University and a PhD in applied mathematics from Florida State University.
Date de parution : 01-2016
17.8x25.4 cm
Thèmes de Risk Parity Fundamentals :
Mots-clés :
Sharpe Ratio; Asset Classes; Portfolio leverage; Risk Parity; Currency risk; Asset Allocation Portfolios; Taper tantrum; Ination Risk; Risk premiums; Core CPI; Portfolio diversification; MSCI World Index; risk parity portfolios; Equity Risk Premium; risk parity investing; Russell 1000 Index; quantitative investment; Risk Contribution; risk allocation; Annual Excess Return; quantitative finance; Risk Premium; Yield Curve; Excess Return; Stop Loss Policy; Roll Yield; IG Bond; Forward Rate; Downside Protection; Portfolio Rebalancing; Portfolio Weights; Term Spread; Loss Contribution