Exploiting the Volatility Anomaly in Financial Markets – CFA Institute Conference Proceedings March 2012

Is the Low Volatility Anomaly Universal- – S&P Dow Jones 2013

Finding opportunities through the low- volatility anomaly BMO 2013

EDHEC-Risk – Understanding the low volatility anomaly (2013)

THE CROSS-SECTION OF VOLATILITY AND EXPECTED RETURNS (NBER) 2004

Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly 2010

Making Sense of Low Volatility Investing – Research Affiliates

And some other reading on a related vein:

GMO – The Hidden Risks of Risk Parity Portfolios

At Par with Risk Parity? (CFA Publications)

Risk Parity (Empiritrage) – a neat summary of research and criticism of Risk Parity

Against Risk Parity, Redux (Seeking Alpha)

Risk Parity: Simple idea, complex questions

http://www.northinfo.com/documents/515.pdf – Diversifying Risk Parity

http://www.fa-mag.com/news/risk-parity-funds–a-look-at-their-complexity–structure-13463.html

Fashionable ‘Risk Parity’ Funds Hit Hard

https://www.invesco.com/pdf/IBRA-FAAD-1-E.pdf?contentGuid=e129529efd1dd310VgnVCM100000c1f1bf0aRCRD

Diversified Risk Parity Strategies for Equity Portfolio Selection∗

Market crises and the 1/N asset-allocation strategy

-Alpha Equity Portfolios: An Integrated Risk Budgeting Approach for Robust Constrained Portfolios

Pick Your Poison (Forbes)