Constructing Fund of Funds Portfolio with Risk Parity

DOI

10.2991/saeme-17.2017.105How to use a DOI?

Keywords

risk parity; portfolio; risk budgeting; optimization.

Abstract

Risk parity became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies. Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy. In this paper, a risk parity portfolio constructed using three large assets, CSI Total Debt Index, Wind A Index and South China Commodity Index. Risk parity became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies. Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy. In this paper, a risk parity portfolio constructed using three large assets, CSI Total Debt Index, Wind A Index and South China Commodity Index.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Jianlin Zhao
AU  - Ming Zhou
PY  - 2017/07
DA  - 2017/07
TI  - Constructing Fund of Funds Portfolio with Risk Parity
BT  - Proceedings of the 2017 International Conference on Sports, Arts, Education and Management Engineering (SAEME 2017)
PB  - Atlantis Press
SP  - 469
EP  - 472
SN  - 2352-5398
UR  - https://doi.org/10.2991/saeme-17.2017.105
DO  - 10.2991/saeme-17.2017.105
ID  - Zhao2017/07
ER  -