Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia
“When assets exhibit jump risks like the short volatility strategy, we show that skewness-based risk parity portfolios produce better allocation than volatility-based risk parity portfolios.”
AssetEquitiesbonds
StrategyPortfolio optimizationfactor investing
Long/shortLong-only
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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