Leverage Aversion and Risk Parity-Reference-Cited by-同舟云学术

Leverage Aversion and Risk Parity

Published:2012-01 Issue:1 Volume:68 Page:47-59
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Asness Clifford S.¹,Frazzini Andrea²,Pedersen Lasse H.³

Affiliation:

1. Clifford S. Asness is managing and founding principal at AQR Capital Management, LLC, Greenwich, Connecticut.

2. Andrea Frazzini is vice president at AQR Capital Management, LLC, Greenwich, Connecticut.

3. Lasse H. Pedersen is the John A. Paulson Professor of Finance and Alternative Investments at New York University Stern School of Business and a principal at AQR Capital Management, LLC, Greenwich, Connecticut.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.2469/faj.v68.n1.1

Reference21 articles.

1. The Cross-Section of Volatility and Expected Returns

2. Two Monetary Tools: Interest Rates and Haircuts

3. Why Not 100% Equities

4. “Speculative Leverage: A False Cure for Pension Woes”: A Comment

5. Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly

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