Lecture

Portfolio Theory: Risk Parity Strategy

In course

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Description

This lecture covers the Portfolio Theory focusing on the Risk Parity Strategy, which involves asset allocation proportional to the inverse of volatility. It discusses the benefits of diversification, mean-variance analysis, optimal portfolios, and alternative diversified portfolios like Equal Weights and Market Weights. The instructor explains the mathematical characterization of the general case, the two-fund separation principle, and the properties of minimum-variance portfolios. The lecture also delves into the comparison of strategies such as Risk Parity, 60/40 Portfolio, and Market Portfolio, providing insights into historical performance and portfolio statistics.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_uen8oupm

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Ontological neighbourhood

Business

Finance: Investment management, Financial risk management, Corporate finance

Economics

Microeconomics: Financial economics

Macroeconomics: Markets

Statistics

Statistical inference: Mathematical statistics

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