“The Properties of Alpha Risk Parity Portfolios“ – 30th seminar online by QFRG and DSLab [06.02.2023]

We kindly invite to join the 30th seminar organised jointly by the Quantitative Finance Research Group and Data Science Lab.

During the meeting Jérôme Gava, Ph.D. and Julien Turc – visiting researchers at École Polytechnique and BNP Paribas experts will present their research.

The meeting will take place on February 6th 2023 at 6:30 p.m. via Zoom platform.

Link to the meeting: https://bit.ly/qfrg-dslab-seminar

Meeting ID: 982 2842 8808, passcode: 636564

The meeting will be conducted in English. Please log in the latest at 6:20 p.m.

Joining a meeting implies consent to recording. Please turn off cameras and microphones during the presentation and send the questions to the speaker in the chat.

Abstract:

Risk parity is an approach to investing that aims to balance risk evenly across assets within a given universe. The aim of this study is to unify the most commonly-used approaches to risk parity within a single framework. Links between these approaches have been identified in the published literature. A key point in risk parity is being able to identify and control the contribution of each asset to the risk of the portfolio. With alpha risk parity, risk contributions are given by a closed-form formula. There is a form of antisymmetry—or self-duality—in alpha risk portfolios that lie between risk budgeting and minimum-risk portfolios. Techniques from information geometry play a key role in establishing these properties.