Abstract
After a short introduction to risk party, this article introduces robust risk parity, a simple formula that allows the construction of portfolios with equal contributions to volatility for arbitrary large asset universes. The empirical performance of robust risk parity is evaluated with two historical datasets, with equity ETFs and indices representing a multiasset class universe.The analysis of the in-sample and out-of-sample results illustrates how to properly evaluate ex post risk parity. Three practical recommendations are of importance to risk parity investors and investment managers alike. <b>TOPICS:</b>Portfolio construction, statistical methods, volatility measures
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