Methods And Systems For Constructing Risk Parity Portfolios
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United States of America Patent
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Issued Date -
Mar 20, 2014
app pub date -
Sep 14, 2012
filing date -
Sep 14, 2012
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Abandoned
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Abstract
A method and system for constructing risk parity portfolios wherein the overall portfolio risk is diversified by allocating the risk equally or substantially equally across various portfolio components. The system receives a selection of investments assets, covariance matrix of the assets, and constraints including bounds on the weights of the investment assets. The system optimizes a mathematical formulation that is constrained by the bounds on the weights of the investment assets to generate a solution that is used for constructing a risk parity portfolio having optimal asset allocations that result in a balanced risk contribution.
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