Cardinality-constrained risk parity portfolios

DOI10.1016/J.EJOR.2021.12.045MaRDI QIDQ2140363zbMATH OpenOpenAlexWikidataFDO

Authors Hassan T. Anis, Roy H. Kwon

Publication date 20 May 2022

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

Full work available at URL https://doi.org/10.1016/j.ejor.2021.12.045

zbMATH Keywords

cardinality constraintsconic optimizationinteger programmingportfolio optimizationrisk parity

Mathematics Subject Classification ID

Integer programming (90C10) Quadratic programming (90C20) Portfolio theory (91G10)

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• Efficient cardinality/mean-variance portfolios

Cites work

• Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
• Generalized risk parity portfolio optimization: an ADMM approach
• Heuristics for cardinality constrained portfolio optimization
• Introduction to risk parity and budgeting
• Julia: a fresh approach to numerical computing
• JuMP: a modeling language for mathematical optimization
• Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
• Least-squares approach to risk parity in portfolio selection
• Linear and mixed integer programming for portfolio optimization
• Nonnegative elastic net and application in index tracking
• Nonnegative-Lasso and application in index tracking
• OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
• Risk parity with expectiles
• Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
• Robust Portfolio Selection Problems
• SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design
• Simulated annealing for complex portfolio selection problems.
• The IDSA and the homogeneous sphere: issues and possible improvements

Cited in

(15)

• Equal risk bounding is better than risk parity for portfolio selection
• Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
• Generalized risk parity portfolio optimization: an ADMM approach
• Equally weighted cardinality constrained portfolio selection via factor models
• Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
• Least-squares approach to risk parity in portfolio selection
• Risk budgeting portfolios from simulations
• Almost exact risk budgeting with return forecasts for portfolio allocation
• Risk-allocation-based index tracking
• Online portfolio selection with state-dependent price estimators and transaction costs
• Enhanced branch-and-bound algorithm for chance constrained programs with Gaussian mixture models
• Nonconvex multi-period mean-variance portfolio optimization
• Portfolio selection and risk sharing via risk budgeting
• Integration of support vector machines and mean-variance optimization for capital allocation
• End-to-end, decision-based, cardinality-constrained portfolio optimization

Describes a project that uses

Uses Software

• JuMP
• Julia

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