Downside Risk-Parity Portfolio
提出一种下行风险平价策略，要求组合中每项资产对总下行风险的贡献相同，通过关注下半方差而非整体方差，旨在避免巨大损失并实现长期稳定表现和高夏普比率。实证表明该策略优于风险平价、最小方差等策略。
The authors propose in this article a downside risk-parity strategy for optimal asset allocation. In contrast to the classical risk-parity strategy, this new strategy requires that each asset in a portfolio contribute the same downside risk to the portfolio’s total downside risk. By focusing on the downside semivariance rather than the whole variance, the proposed strategy has the potential to eschew huge loss and, hence, to realize stable performance and a high Sharpe ratio in the long run. The authors demonstrate the satisfactory properties of the proposed strategy via extensive empirical analyses. The proposed downside risk-parity strategy outperforms risk parity, minimum variance, and other risk-based strategies, with a higher Sharpe ratio and smaller maximum drawdown in most cases.