Group Risk Parity Strategies for ETFs Portfolios  

作　　者：Massimiliano Kaucic Giorgio Valentinuz 

机构地区：[1]University of Trieste,Trieste,Italy

出　　处：《Chinese Business Review》2018年第10期489-507,共19页中国经济评论（英文版）

摘　　要：This research aims to compare different strategies that a non-professional investor in exchange-traded funds (ETFs) could employ to reach a good performance both from profits and from a risk perspective. In recent years, especially after the 2008 crisis, a new technique to evaluate the risk has become more popular, the so-called risk parity, which seeks to equalise the contributions to risk of the portfolio constituents. Our study analyses 17 variants of risk parity portfolio design for groups with the minimum variance strategy and equally weighted portfolio over a pool of 56 ETFs—listed on the Italian Stock Exchange—of eight different categories of specialisation. Empirical results confirm the usefulness of the group risk parity strategies in improving outcomes regarding diversification of risks among classes with good out-of-sample performance with respects to the target models.

关 键 词：GROUP RISK PARITY portfolio selection exchange-traded funds GROUP CONSTRAINTS bound CONSTRAINTS passive investing Italian Stock EXCHANGE 

分 类 号：F[经济管理]