On Risk Parity Performance
用30年数据比较了风险平价策略与均值方差模型及简单策略的表现，发现风险平价在风险调整收益上有时更优，但长期来看优势不明显。
The authors empirically compare risk parity (RP) with traditional mean–variance theory (MVT) portfolios and naive strategies over 30 years (1990–2019) across five asset classes. They use a decade for MVT parameter estimation and 20 years for rolling investment horizons (periods of 20, 10, 5, and 1 years). RP offers balanced risk similar to minimum-variance MVT. Some RP strategies perform better in risk-adjusted returns but not against long-term horizons (10 and 20 years). Despite MVT’s estimation risk, results hold when factoring transaction costs.