Building a Regime-Resilient ERC Portfolio
提出了一种新的投资组合框架，将资产收益的多市场状态分布与风险平价投资相结合，通过构建市场状态平价投资组合，比标准等风险贡献组合更稳健，尤其能减少罕见不利市场阶段的影响。
In this paper, the authors introduce a new portfolio construction framework that connects the multi-regime distribution of asset returns with risk parity investing. Building on the seminal equal risk contribution (ERC) approach, they explicitly link regime-level information to portfolio allocation by creating the <italic>regime parity portfolio</italic>, a linear combination of regime-specific ERC portfolios. This formulation directly translates latent market regimes into components of the strategic asset allocation. Each regime-specific ERC portfolio is weighted according to the historical frequency of its occurrence, which provides a natural and transparent way to anchor long-term portfolio exposures to observed market structure. The resulting allocation proves more robust than standard ERC portfolios that can be excessively influenced by rare yet adverse market phases. Their experiments quantify the outperformance of the regime parity portfolio in different instances, as well as the utility gain for various levels of risk aversion. Most of the portfolios’ gains can be attributed to changes in assets risks rather than changes in assets correlation. Their approach also helps performance as the number of assets increases.