Risk parity with expectiles

DOI10.1016/J.EJOR.2020.10.009MaRDI QIDQ2030685zbMATH OpenOpenAlexFDO

Authors Fabio Bellini, Francesco Cesarone, Christian Colombo, Fabio Tardella

Publication date 7 June 2021

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2020.10.009

zbMATH Keywords

expectilesportfolio selectionrisk allocationrisk diversificationrisk parity

Mathematics Subject Classification ID

Linear programming (90C05) Risk models (general) (91B05) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

Recommendations

• Least-squares approach to risk parity in portfolio selection
• Equal risk bounding is better than risk parity for portfolio selection
• Mean-expectile portfolio selection
• Risk parity for mixed tempered stable distributed sources of risk
• Scenario aggregation method for portfolio expectile optimization

Cites work

• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• An optimization-diversification approach to portfolio selection
• Approximating exact expected utility via portfolio efficient frontiers
• Asymmetric Least Squares Estimation and Testing
• Backtesting VaR and expectiles with realized scores
• Capital allocation à la Aumann-Shapley for non-differentiable risk measures
• Comparative and qualitative robustness for law-invariant risk measures
• Dynamic capital allocation with distortion risk measures
• Equal risk bounding is better than risk parity for portfolio selection
• External risk measures and Basel accords
• Generalized quantiles as risk measures
• Implicit expectiles and measures of implied volatility
• Introduction to risk parity and budgeting
• Least-squares approach to risk parity in portfolio selection
• Long-only equal risk contribution portfolios for CVaR under discrete distributions
• Optimization of Convex Risk Functions
• Risk measures with the CxLS property
• Robust Statistics
• Robustness and sensitivity analysis of risk measurement procedures
• Scenario aggregation method for portfolio expectile optimization
• The Influence Curve and Its Role in Robust Estimation
• To split or not to split: Capital allocation with convex risk measures

Cited in

(23)

• Risk parity for mixed tempered stable distributed sources of risk
• Mean-expectile portfolio selection
• Cardinality-constrained risk parity portfolios
• Introduction to risk parity and budgeting
• Scenario aggregation method for portfolio expectile optimization
• Least-squares approach to risk parity in portfolio selection
• Risk parity portfolios for the grouped stocks
• Mean-variance-VaR portfolios: MIQP formulation and performance analysis
• Risk budgeting portfolios from simulations
• Online portfolio selection with state-dependent price estimators and transaction costs
• MAD risk parity portfolios
• How to construct a lower risk FOF based on correlation network? The method of principal component risk parity asset allocation
• Upper comonotonicity and risk aggregation under dependence uncertainty
• Nonparametric estimation of conditional expectile-based risk measures
• On expectiles and almost stochastic dominance
• Portfolio selection and risk sharing via risk budgeting
• A return-diversification approach to portfolio selection
• Conditional generalized quantiles as systemic risk measures: properties, estimation, and application
• Flexible enhanced indexation models through stochastic dominance and ordered weighted average optimization
• Computational analysis of expectile and deviation expectile portfolio optimization models
• A new behavioral model for portfolio selection using the half-full/half-empty approach
• Portfolio decision analysis for pandemic sentiment assessment based on finance and web queries
• Network portfolio optimization with dynamic lower bounds on asset weights

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