Multifactor portfolio construction by factor risk parity strategies: an empirical comparison of global stock markets

DOI10.1007/s10690-019-09274-4zbMath1425.91393OpenAlexW2925509207MaRDI QIDQ2011042

Hidehiko Shimizu, Takayuki Shiohama

Publication date: 28 November 2019

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-019-09274-4

zbMATH Keywords

risk parityfactor investingmultifactor portfoliorisk-based asset allocationsmart beta

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Risk parity portfolios with risk factors
• Unnamed Item

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