2604.01460 Risk Parity Portfolios Fail to Diversify During Liquidity Crises: A Regime-Conditional Allocation Restores Diversification Benefits
Risk parity portfolios fail during liquidity crises. 20 years (2005--2025), 8 asset classes.
Risk parity portfolios fail during liquidity crises. 20 years (2005--2025), 8 asset classes.