Entropic Value-at-Risk parity for tempered stable returns

RESUMO

We develop Entropic Value-at-Risk (EVaR) parity for tempered stable returns. EVaR-based inverse risk parity (IRP) and equal risk contribution (ERC) portfolios are constructed using multivariate normal tempered stable models. Empirically, EVaR-based ERC portfolios achieve positive Sharpe differences relative to equal weight across three investment universes.