Sharpe Parity Redux
比较了夏普平价策略与60/40、均值方差、风险平价和最小方差策略在不同约束和资产类别下的表现，发现策略表现高度依赖于构建过程中的约束条件，对投资组合管理者选择方法有参考价值。
In this article, the authors investigate the performance of the Sharpe parity asset allocation strategy relative to the more well-known 60/40, mean–variance, risk parity, and min-variance strategies. Each portfolio selection strategy was tested under a number of different constraints and asset class configurations. In addition to historical data, bootstrapped simulated time series were used to test the robustness of the analysis. The primary conclusion was that the performance of each of the strategies considered was highly dependent on the constraints applied during the portfolio construction process. As such, portfolio managers choosing to implement a given portfolio construction methodology must be careful in choosing their asset universe and calibrating their asset class level constraints to give their portfolios the maximum performance advantage versus rival portfolio selection methodologies and manager benchmarks.