Risk Disparity
研究发现恒定权重的政策投资组合会随时间出现显著的风险差异，并提出了利用内在脆弱性和外在市场脆弱性指标来稳定风险状况的方法，对投资者平衡增长与回撤目标有参考价值。
Investors seek to grow their wealth over time and avoid large draw-downs along the way, but these goals conflict. A policy portfolio serves as an expression of how investors balance these conflicting goals. A policy portfolio that maintains constant asset weights, however, experiences significant inter-temporal disparity in its risk profile, thereby defeating the purpose for which it is intended. This article offers evidence of inter-temporal risk disparity and shows how investors can use measures of intrinsic portfolio fragility and extrinsic market fragility to stabilize a portfolio’s risk profile. <b>TOPICS:</b>Portfolio theory, risk management, portfolio construction