Data-driven distributionally robust risk parity portfolio optimization

DOI10.1080/10556788.2021.2022143OpenAlexW3206590463WikidataQ111899509 ScholiaQ111899509MaRDI QIDQ5058398

Roy H. Kwon, Giorgio Costa

Publication date: 20 December 2022

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.06464

zbMATH Keywords

portfolio selectiongradient descentsaddle-point problemdistributionally robust optimizationrisk paritystatistical ambiguity

Mathematics Subject Classification ID

Portfolio theory (91G10) Robustness in mathematical programming (90C17)

Related Items (1)

Distributionally robust end-to-end portfolio construction

Uses Software

• JuMP

Cites Work

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