Readable and practical book about Risk Parity that lays out the basic tenets, walks the reader through how to construct a RP portfolio, and discusses RP’s limitations, as well as its strengths. Not exactly geared towards the DIY investor, but still helpful.
Summary of RP that blends empirical backtests and some discussion of its theoretical basis. Much of the content is available in other papers, but this chapter does collect and synthesize various aspects of RP.
Important paper for two reasons: 1) provides some of the theoretical rationale for why RP works (leverage aversion); 2) conveys data of three tests of whether RP works. They find that RP’s success is not likely due to data mining by proponents. Well worth a read.
Addresses ten common criticisms of a risk parity approach, describing and answering them in turn. A good read, as the authors provide the reader with a deeper understanding of RP in the process of debunking the critiques.
A "look under the hood” for constructing RP portfolios. Seems written for other industry professionals, but isn’t overly technical for the average investor. The whole paper is worth reading, but especially pages 4 through 7.
