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Cited by 316

The DOI matches its Crossref record; 22 of the 22 references it cites were found in a registry or an index.

Leverage Aversion and Risk Parity

Asness, Clifford S., Frazzini, Andrea, Pedersen, Lasse H.·2012·Financial Analysts Journal
DOI 10.2469/faj.v68.n1.1
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Abstract

The authors show that leverage aversion changes the predictions of modern portfolio theory: Safer assets must offer higher risk-adjusted returns than riskier assets. Consuming the high risk-adjusted returns of safer assets requires leverage, creating an opportunity for investors with the ability to apply leverage. Risk parity portfolios exploit this opportunity by equalizing the risk allocation across asset classes, thus overweighting safer assets relative to their weight in the market portfolio.

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Crossref · 10.2469/faj.v68.n1.1

Cites

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Citations

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Metadata

Authors
Asness, C. S., Frazzini, A., & Pedersen, L. H.
Venue
Financial Analysts Journal
Publisher
Informa UK Limited
Published
2012-01
Volume
68
Issue
1
Pages
47-59
ISSN
  • 0015-198X (ISSN-L)
  • 1938-3312
DOI
10.2469/faj.v68.n1.1
OpenAlex
W2142272528
Cited by
316
References
22
FWCI
59.43
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Leverage Aversion and Risk Parity. https://app.cochat.ai/papers/10.2469/faj.v68.n1.1
The paper
Asness, C. S., Frazzini, A., & Pedersen, L. H. (2012). Leverage Aversion and Risk Parity. Financial Analysts Journal. https://doi.org/10.2469/faj.v68.n1.1

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.