Abstract:This research aims to compare different strategies that a non-professional investor in exchange-traded funds (ETFs) could employ to reach a good performance both from profits and from a risk perspective. In recent years, especially after the 2008 crisis, a new technique to evaluate the risk has become more popular, the so-called risk parity, which seeks to equalise the contributions to risk of the portfolio constituents. Our study analyses 17 variants of risk parity portfolio design for groups with the minimum… Show more
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