Improvement And Research On Risk Parity Model

This article describes the classic strategic asset allocation model,introduces the fixed weight allocation model,the mean variance model,and the risk parity model.Finally,we focus on the framework of the risk parity model,explore the nature of the risk parity model,and improve the classic framework.And we also found that measuring risk should not only be measured by volatility.The risk that each investor can bear is different,and his perception of risk is also different.The risk measurement measurement should be defined according to the actual situation.This article gives a variety of ways to measure risk,including volatility,downside volatility,CVaR,and maximum drawdown,and gives an improved risk parity model.Because the risk parity model does not optimize the portfolio rate of return,we ignore the timing correlation between assets when we allocate assets in order to increase returns.In theory,choosing some sub-assets with a relatively close Sharpe ratio and using the risk parity framework to create an asset portfolio can achieve higher cumulative returns.In addition,in the process of backtesting,this article uses historical data to measure the risk attributes of sub-assets.The inherent risk attributes of sub-assets change over time.We assume that the risk attributes of sub-assets will be certain in the future.The time is almost unchanged.This can help the risk parity model to better control future portfolio risks.