CVaR-Based Risk Parity Portfolio Strategy and Its Application
Due to the non-subadditivity property of value-at-risk(VaR)when mea-suring tail loss risk,we propose a risk parity investment portfolio model based on con-ditional value-at-risk(CVaR)and provide a numerical calculation method for imple-menting the investment portfolio strategy.Using Sharpe ratio,maximum drawdown,and Calmar ratio as performance evaluation indicators,the risk parity investment strategy based on CVaR is compared with common investment portfolio strategies.Numerical experimental results indicate that the comprehensive performance of the risk parity strategy is more robust than the equal-weight investment portfolio strat-egy,the maximum Sharpe ratio investment strategy,and the global minimum variance investment strategy.Among the three risk parity strategies,the CVaR-based risk par-ity investment strategy has advantages in risk control,significantly improving both return and risk diversification effects.The robustness test results also suggest that the CVaR-based risk parity investment strategy can maintain stability and effectiveness in different situations.
Portfoliorisk parity strategyconditional value at riskasset allocation
万方数据
维普
