Kurtosis-based risk parity: methodology and portfolio effects
提出一种以投资组合峰度为参考指标的风险平价策略，通过公平分散极端收益责任来分配资产权重，并与传统标准差风险平价策略在全球股票数据中比较，发现其在风险调整后收益上更优但权重更不稳定。
In this paper, a risk parity strategy based on portfolio kurtosis as reference measure is introduced. This strategy allocates the asset weights in a portfolio in a manner that allows an homogeneous distribution of responsibility for portfolio returns' huge dispersion, since portfolio kurtosis puts more weight on extreme outcomes than standard deviation does. Therefore, the goal of the strategy is not the minimization of kurtosis, but rather its ‘fair diversification’ among assets. An original closed-form expression for portfolio kurtosis is devised to set up the optimization problem for this type of risk parity strategy. The latter is then compared with the one based on standard deviation by using data from a global equity investment universe and implementing an out-of-sample analysis. The kurtosis-based risk parity strategy has interesting portfolio effects, with lights and shadows. It outperforms the traditional risk parity according to main risk-adjusted performance measures. In terms of asset allocation solutions, it provides more unbalanced and more erratic portfolio weights (albeit without excluding any component) in comparison to those pertaining the traditional risk parity strategy.