Diversified Reward-Risk Parity in Portfolio Construction

  title={Diversified Reward-Risk Parity in Portfolio Construction},
  author={Jaehyung Choi and H. Kim and Young Shin Kim},
  journal={Investments eJournal},
  • Jaehyung Choi, H. Kim, Young Shin Kim
  • Published 2021
  • Economics
  • Investments eJournal
We introduce diversified risk parity embedded with various reward-risk measures and more generic allocation rules for portfolio construction. We empirically test advanced reward-risk parity strategies and compare their performance with an equally-weighted risk portfolio in various asset universes. The reward-risk parity strategies we tested exhibit consistent outperformance evidenced by higher average returns, Sharpe ratios, and Calmar ratios. The alternative allocations also reflect less… Expand


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