Construcción de portafolios de inversión usando el enfoque de paridad de riesgo

Abstract

Building Investment Portfolios Using the Risk Parity Approach

This paper proposes a methodology for applying the Risk Parity (RP) approach as an alternative to the traditional Markowitz Mean-Variance (MV) approach. To do that, we explore fundamentals of the RP approach, which is based on the notion of risk contribution, where each asset is expected to contribute equally to the overall risk of the portfolio, thereby ensuring optimal diversification from a risk perspective. This approach contrasts with the MV model, which is susceptible to concentration issues and errors in parameter estimation, which can result in an over-exposure to risk. To demonstrate the implementation of this approach, two portfolios are constructed: one based on the U.S. stock market and another that includes both the developed market and emerging markets, such as Mexico and Brazil. In addition, concentration measures such as the Herfindahl-Hirschman Index (HHI) are used to show that the PR-based portfolios are more consistent and require less rebalancing. Finally, the limitations of the PR approach and recommendations for its implementation are outlined.