Almost exact risk budgeting with return forecasts for portfolio allocation

DOI10.1016/j.orl.2023.02.002zbMath1525.91155arXiv2210.00969MaRDI QIDQ6161908

Avinash Bhardwaj, Purushottam Parthasarathy, Manjesh Kumar Hanawal

Publication date: 28 June 2023

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2210.00969

zbMATH Keywords

portfolio optimizationasset allocationportfolio allocationrisk budgetingrisk parity

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20) Portfolio theory (91G10)

Cites Work

• Computing a nearest symmetric positive semidefinite matrix
• Equal risk bounding is better than risk parity for portfolio selection
• Cardinality-constrained risk parity portfolios
• Long-only equal risk contribution portfolios for CVaR under discrete distributions
• Risk parity portfolios with risk factors
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