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Table 1.1, <strong>Page</strong> 7Table: Solving the φ-problemφ +∞ 5.00 2.00 1.00 0.50 0.20x ⋆ 1 72.74 68.48 62.09 51.44 30.15 −33.75x ⋆ 2 49.46 35.35 14.17 −21.13 −91.72 −303.49x ⋆ 3 −20.45 12.61 62.21 144.88 310.22 806.22x ⋆ 4 −1.75 −16.44 −38.48 −75.20 −148.65 −368.99µ (x ⋆ ) 4.86 5.57 6.62 8.38 11.90 22.46σ (x ⋆ ) 12.00 12.57 15.23 22.27 39.39 94.57Introduction to Risk Parity and Budgeting Modern Portfolio Theory 4 / 40
Tables 1.2 & 1.3, <strong>Page</strong> 8Table: Solving the unconstrained µ-problemµ ⋆ 5.00 6.00 7.00 8.00 9.00x ⋆ 1 71.92 65.87 59.81 53.76 47.71x ⋆ 2 46.73 26.67 6.62 −13.44 −33.50x ⋆ 3 −14.04 32.93 79.91 126.88 173.86x ⋆ 4 −4.60 −25.47 −46.34 −67.20 −88.07σ (x ⋆ ) 12.02 13.44 16.54 20.58 25.10φ 25.79 3.10 1.65 1.12 0.85Table: Solving the unconstrained σ-problemσ ⋆ 15.00 20.00 25.00 30.00 35.00x ⋆ 1 62.52 54.57 47.84 41.53 35.42x ⋆ 2 15.58 −10.75 −33.07 −54.00 −74.25x ⋆ 3 58.92 120.58 172.85 221.88 269.31x ⋆ 4 −37.01 −64.41 −87.62 −109.40 −130.48µ (x ⋆ ) 6.55 7.87 8.98 10.02 11.03φ 2.08 1.17 0.86 0.68 0.57Introduction to Risk Parity and Budgeting Modern Portfolio Theory 5 / 40
Page 1 and 2: Introduction to Risk Parity and Bud
Page 3: Figure 1.2, Page 8Figure: The effic
Page 7 and 8: Table 1.4, Page 10Table: Solving th
Page 9 and 10: Figure 1.5, Page 15Figure: The effi
Page 11 and 12: Figure 1.6, Page 20Figure: The effi
Page 13: Table 1.7, Page 26Table: Black-Litt
Page 16 and 17: Figure 1.9, Page 31Figure: Density
Page 18 and 19: Figure 1.11, Page 35Figure: Cumulat
Page 20 and 21: Figure 1.13, Page 38Figure: Density
Page 22 and 23: Result (1.21), Page 39Ĉ =⎛⎜⎝
Page 24 and 25: Figure 1.16, Page 46Figure: Uncerta
Page 26 and 27: Result (1.23), Page 49Ĉ =⎛⎜⎝
Page 28 and 29: Table 1.9, Page 53Table: Solutions
Page 30 and 31: Tables 1.10 & 1.11, Page 55Table: P
Page 32 and 33: Table 1.12, Page 57Table: Effect of
Page 34 and 35: Page 62Number of solved QP problems
Page 36 and 37: Table 1.15, Page 63Table: Sampling
Page 38 and 39: Figure 1.20, Page 65Figure: Samplin
Page 40: Tables 1.19 & 1.20, Pages 69 & 70Ta

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