Most analysis of risk parity treats it as a heuristic and compares backtests of different allocation methods with less emphasis on investment rationale. The authors investigate risk parity under different settings, highlight its potential utility, and give insights into when this method may be...

This study focuses on the 42 traits of brand personality (Aaker 1997) of nine drink brands spanning across three drink segments - fizzy drink, mineral water and energy drink, and measure the congruity of the brands' personalities (five dimension) to the consumer (drinker) of those brands. Based...

Recent work raises questions about the input and output measures typically used to estimate the impact of prenatal care on infant health: self-reported prenatal care may generate biased estimates of the impact of prenatal care on infant health, and birthweight may be a narrow measure of infant...

Recent work raises questions about the input and output measures typically used to estimate the impact of prenatal care on infant health: self-reported prenatal care may generate biased estimates of the impact of prenatal care on infant health, and birthweight may be a narrow measure of infant...

Risk parity has been considered a heuristic asset allocation method. In this paper, we show that, to the contrary, risk parity is a special case of a mean-risk type of a portfolio optimization problem with log-regularization to constrain weights. We show that log-regularization leads to a fund...

We describe how networks based on information theory can help measure and visualize systemic risk, enhance diversification, and help price assets. To do this, we first define a distance measure based on the mutual information between asset pairs and use this measure in the construction of...

This paper is about the issue of input parameter uncertainty in portfolio optimization in a discrete setting with finite states (such as the case in a world with different macroeconomic regimes). In such a setting, being unable to assign reliable point estimates to the probabilities (or...