Add to ORKGIn this paper we study the properties of Risk Parity portfolios obtained by using expectiles as coherent risk measures. Risk Parity portfolios are defined in general by the condition that all asset risk contributions to the global risk of the portfolio are equal. In order to make this principle operational, it is necessary to specify a decomposition of the total portfolio risk into components that can be attributed to each asset. For this purpose, we adopt the standard Euler decomposition. Furthermore, we propose several approaches for practically nding Risk Parity portfolios and we compare their accuracy and efficiency on real-world data
Risk parity is an allocation method used to build diversified portfolios that does not rely on any a...
Risk Parity (RP), also called equally weighted risk contribution, is a recent approach to risk diver...
Risk Parity (RP), also called equally weighted risk contribution, is a recent approach to risk diver...
In this paper we study the properties of Risk Parity portfolios obtained by using expectiles as coh...
Risk parity is an allocation method used to build diversified portfolios that does not rely on any a...
This thesis evaluates risk-based techniques by constructing five risk parity portfolios, Inverse Vol...
Risk Parity (RP), also called equally weighted risk contribution, is a recent approach to risk diver...
Risk Parity (RP), also called equally weighted risk contribution, is a recent approach to risk diver...
Since the early beginning of investing as it was commonly seen as a form of gambling for the rich an...
The following paper is an additional element of the collective work “Decoding the Quality Factor”. T...
The aim of this thesis is to build different Risk Parity portfolios and thereby perform an out-of-sa...
In this study, we aimed to test the performance of risk parity portfolios against classically optimi...
Risk parity is an asset allocation strategy that seeks to equalize the risk contributions of the con...
This paper formulates a relaxed risk parity optimization model to control the balance of risk parity...
In this paper we discuss a detailed methodology for dealing with Risk parity in a parametric context...
Risk parity is an allocation method used to build diversified portfolios that does not rely on any a...
Risk Parity (RP), also called equally weighted risk contribution, is a recent approach to risk diver...
Risk Parity (RP), also called equally weighted risk contribution, is a recent approach to risk diver...
In this paper we study the properties of Risk Parity portfolios obtained by using expectiles as coh...
Risk parity is an allocation method used to build diversified portfolios that does not rely on any a...
This thesis evaluates risk-based techniques by constructing five risk parity portfolios, Inverse Vol...
Risk Parity (RP), also called equally weighted risk contribution, is a recent approach to risk diver...
Risk Parity (RP), also called equally weighted risk contribution, is a recent approach to risk diver...
Since the early beginning of investing as it was commonly seen as a form of gambling for the rich an...
The following paper is an additional element of the collective work “Decoding the Quality Factor”. T...
The aim of this thesis is to build different Risk Parity portfolios and thereby perform an out-of-sa...
In this study, we aimed to test the performance of risk parity portfolios against classically optimi...
Risk parity is an asset allocation strategy that seeks to equalize the risk contributions of the con...
This paper formulates a relaxed risk parity optimization model to control the balance of risk parity...
In this paper we discuss a detailed methodology for dealing with Risk parity in a parametric context...
Risk parity is an allocation method used to build diversified portfolios that does not rely on any a...
Risk Parity (RP), also called equally weighted risk contribution, is a recent approach to risk diver...
Risk Parity (RP), also called equally weighted risk contribution, is a recent approach to risk diver...