• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

How bond risk affects risk parity portfolios

Shi, Qingqi; Zhang, Lian Zhang
Master thesis
Thumbnail
View/Open
2603903.pdf (2.480Mb)
code.pdf (165.2Kb)
dataset3.txt (1.063Mb)
URI
https://hdl.handle.net/11250/2687647
Date
2020
Metadata
Show full item record
Collections
  • Master of Science [963]
Abstract
We document the performance of risk parity portfolios (RPP) of

U.S. equities and government bonds over more than fty years of

daily and monthly data. RPP's strong outperformance compared

to 60/40 portfolios has to some extent relied on sub-periods of

falling interests rates. RPP have a large tail risk materializing in

periods of sharply rising interest rates together with recession or

stag

ation. In these situations, positive return correlation together

with rising rates have a very negative impact on both RPP and

60/40 portfolios, with RPP su ering the larger tail loss. We also

analyze how volatility variation of equities and bonds a ect RPP's

volatility theoretically and empirically.

Keywords: Risk parity portfolio, Government bond, Government

bond yield, volatility variation
Description
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2020/Masteroppgave(MSc) in Master of Science in Quantitative Finance - Handelshøyskolen BI, 2020
Publisher
Handelshøyskolen BI

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit