RT Journal Article
SR Electronic
T1 Practical Applications of Risk Disparity
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 3
DO 10.3905/pa.2014.1.4.045
VO 1
IS 4
A1 Mark Kritzman
A1 Gauri Goyal
YR 2014
UL https://pm-research.com/content/1/4/1.9.abstract
AB Risk Disparity Mark Kritzman Most institutional investors today maintain a formal investment policy portfolio, which allocates among asset classes according to their risk and return objectives.But while the policy portfolio provides a yardstick on overall active management, it does not always meet the risk preferences that are implicit in the institution's policy portfolio. In Risk Disparity , which appeared in the Fall 2013 issue of The Journal of Portfolio Management , Mark Kritzman , President and CEO of Windham Capital Management , explores alternative approaches.In this Practical Applications report,Kritzman suggests a more flexible investment policy. One that does not adhere to fixed asset weights but instead opportunistically changes exposure to assets.The article is a winner of the 15th Annual Bernstein Fabozzi/Jacobs Levy Awards (Outstanding Article).