Risk parity is portfolio construction technique that, using risk alone, scales each part of a portfolio — e.g., stocks, bonds, currencies, commodities — so that its contribution to net portfolio risk matches its budgeted risk. Because risks are measured using a point-estimate of covariance, the method is subject to problems of estimation error. This paper performs risk parity with covariance modeled as uncertain in order to achieve a weighting robust to changes in regime and hidden risks from misperceived hedging. The uncertain risk contributions, calculated en route, have value well beyond risk parity. Reporting a portfolio’s “uncertain risk decomposition” reveals the range around numbers and, more important, the risks that arise from inexact knowledge, e.g., market’s going from invisible to the biggest latent risk.