论文标题
风险风险风险风险风险：用于因素投资和替代风险溢价的应用
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia
论文作者
论文摘要
本文开发了一个模型，该模型考虑了风险平等投资组合中的偏差风险。在此框架中，资产回报被视为随机过程，其跳跃或由高斯混合物分布产生的随机变量。这种双重表示使我们能够表明偏斜和跳跃风险是等效的。由于混合物表示很简单，因此我们获得了用于计算给定投资组合的资产风险贡献的分析公式。因此，我们定义了风险预算投资组合并得出存在和独特条件。然后，我们将模型应用于权益/债券/波动性资产混合政策。当资产表现出诸如短波动效率策略之类的跳跃风险时，我们表明，基于偏斜的风险奇偶校验组合比基于波动性的风险平价投资组合产生的分配更好。最后，我们说明了该模型如何适合管理长期股权因素投资组合的偏度风险，并在其他风险溢价之间分配。
This article develops a model that takes into account skewness risk in risk parity portfolios. In this framework, asset returns are viewed as stochastic processes with jumps or random variables generated by a Gaussian mixture distribution. This dual representation allows us to show that skewness and jump risks are equivalent. As the mixture representation is simple, we obtain analytical formulas for computing asset risk contributions of a given portfolio. Therefore, we define risk budgeting portfolios and derive existence and uniqueness conditions. We then apply our model to the equity/bond/volatility asset mix policy. When assets exhibit jump risks like the short volatility strategy, we show that skewness-based risk parity portfolios produce better allocation than volatility-based risk parity portfolios. Finally, we illustrate how this model is suitable to manage the skewness risk of long-only equity factor portfolios and to allocate between alternative risk premia.
