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Keywords: Risk parity
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Journal Articles
Portfolio allocation across variance risk premia
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2019) 20 (5): 556–593.
Published: 22 October 2019
... likelihood regime-switching VRP and Bayesian regime switching VRP. The authors examine the best return-risk combination through the calculation of the Sharpe ratio. They also assess another different portfolio strategy: the risk parity approach. Julien Chevallier can be contacted at: julien.chevallier...
