Comparing Risk Parity Portfolios Does a Tail-Risk Parity strategy provide better downside protection than the Risk Parity strategy during economic crisis?
This thesis evaluates the risk parity and tail-risk parity approach against conventional weight budgeting approach. The risk parity and tail-risk parity approach, in contrast to weight budgeting approach, is about distributing the risk between the asset classes in the portfolio. The risk, is traditionally measured in terms of volatility together with the assumption that returns follows a Gaussian