Long-only equal risk contribution portfolios for CVaR under discrete distributions

DOI10.1080/14697688.2018.1434317zbMath1406.91420OpenAlexW2800630576MaRDI QIDQ4619533

Oleksandr Romanko, Helmut E. Mausser

Publication date: 6 February 2019

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

Full work available at URL: https://doi.org/10.1080/14697688.2018.1434317

zbMATH Keywords

second-order conediscrete distributionrisk parityERC portfolio

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items

Risk budgeting portfolios from simulations, Kurtosis-based risk parity: methodology and portfolio effects, Almost exact risk budgeting with return forecasts for portfolio allocation, Risk parity with expectiles

Uses Software

• CPLEX
• Ipopt

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A heuristic for moment-matching scenario generation
• CVaR proxies for minimizing scenario-based value-at-risk
• On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
• Introduction to Nonlinear Optimization
• Least-squares approach to risk parity in portfolio selection