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Yixi Ning

As seen in: Journal of Investment Strategies, Managerial Finance, Review of Accounting & Finance
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Articles by Yixi Ning

Dynamic rebalancing of a risk parity investment portfolio

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By Sean Yang, Yixi Ning, Wangzhi Zheng
| Journal of Investment Strategies Verified
We find that the All-Weather portfolio outperforms Safe portfolio, Conventional portfolio, and S&P 500 in the long term based on risk-adjusted performance measurements. The optimal range rebalancing strategy presented can improve the risk-adjusted performance of the risk parity All-Weather Portfolio. The proposed Moving Average Distance (MAD) based momentum rebalancing strategy can also improve the All-Weather Portfolio performance.
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Dynamic rebalancing of a risk parity investment portfolio

|
By Yixi Ning, Sean Yang, Wangzhi Zheng
| Journal of Investment Strategies Verified
Tweet Facebook LinkedIn Save this article Send to Print this page We find that the All-Weather portfolio outperforms Safe portfolio, Conventional portfolio, and S&P 500 in the long term based on risk-adjusted performance measurements. The optimal range rebalancing strategy presented can improve the risk-adjusted performance of the risk parity All-Weather Portfolio. The proposed Moving Average Distance (MAD) based momentum rebalancing strategy can also improve the All-Weather Portfolio performance.
Open in Who Shared Issue with article?
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