Least-squares approach to risk parity in portfolio selection

DOI10.1080/14697688.2015.1031815zbMath1468.91130OpenAlexW3123484795MaRDI QIDQ5001135

Xi Bai, Katya Scheinberg, Reha H. Tütüncü

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1031815

zbMATH Keywords

alternating direction methodportfolio selectionasset allocationalternating linearization methodrisk parity

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (18)

Cardinality-constrained risk parity portfolios ⋮ Data-driven distributionally robust risk parity portfolio optimization ⋮ Equal risk bounding is better than risk parity for portfolio selection ⋮ Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks ⋮ Optimising portfolio diversification and dimensionality ⋮ Risk budgeting portfolios from simulations ⋮ The performance of bank portfolio optimization ⋮ Kurtosis-based risk parity: methodology and portfolio effects ⋮ Risk-allocation-based index tracking ⋮ Online portfolio selection with state-dependent price estimators and transaction costs ⋮ Generalized risk parity portfolio optimization: an ADMM approach ⋮ Long-only equal risk contribution portfolios for CVaR under discrete distributions ⋮ Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization ⋮ Risk parity with expectiles ⋮ An optimization-diversification approach to portfolio selection ⋮ Risk parity portfolio optimization under a Markov regime-switching framework ⋮ Risk Parity Portfolios for the Grouped Stocks ⋮ Optimal Portfolio Diversification via Independent Component Analysis

Cites Work

• Fast alternating linearization methods for minimizing the sum of two convex functions
• Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
• Efficient Cardinality/Mean-Variance Portfolios

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