The Properties of Equally Weighted Risk Contribution Portfolios

1. Sébastien Maillard 1. is a quantitative analyst at Lyxor AM in Paris, France. (sebastien.maillard{at}lyxor.com) 2. Thierry Roncalli 1. is a professor of finance at the University of Evry and the head of Research and Development at Lyxor AM in Paris, France. (thierry.roncalli{at}lyxor.com) 3. Jérôme Teïletche 1. is a professor of finance at the University of Paris Dauphine and the head of Systematic Investment Strategies at Lombard Odier in Geneva, Switzerland. (jerome.teiletche{at}dauphine.fr) 1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675. Minimum-variance portfolios and equally weighted portfolios have recently prompted great interest…