Introduction to Risk Parity and Budgeting

摘要

As a portfolio management tool, Markowitz optimization has disappointed most investment managers. Regardless of the theory's elegance, it has not worked well in practice. The likelihood of realizing an efficient frontier with any optimized allocation in the real world is often quite low. The failures of this standard model approach have led to a search for alternative asset allocation solutions, such as risk budgeting. New allocation solutions may ultimately create true breakthroughs for portfolio management. Most innovations are fads that catch the attention of managers for only a short period; nevertheless, the industry needs to understand new techniques to separate what is useful from what may be a passing fancy.