JPMorgan: Hierarchical Risk Parity Portfolio Building Method Beats Markowitz
Harry Markowitz’s modern portfolio theory has been a staple concept among many noncorrelated portfolio builders. The core concept is that an assets risk and returns profile should not be viewed in isolation, but rather how they integrate into a portfolio. JPMorgan’s Quantitative and Derivatives Strategy team thinks there is a better method to construct portfolios. In a 51-page research piece, they analyze the Hierarchical Risk Parity (HRP) method for developing a portfolio, benchmarking performance against four other methods, including
SORRY! This content is exclusively for paying members. If you are subscribed and having an account error please clear cache and cookies if that does not work email support@valuewalk.com or click Chat.
