Kurtosis-based risk parity: methodology and portfolio effects

DOI10.1080/14697688.2022.2145988zbMATH Open1518.91236OpenAlexW4319794020MaRDI QIDQ6158412FDOQ6158412

Authors:

Publication date: 20 June 2023

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

Full work available at URL: https://doi.org/10.1080/14697688.2022.2145988

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zbMATH Keywords

kurtosisasset allocationrisk diversificationrisk parity

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Risk parity portfolios with risk factors
• Matrix differential calculus with applications to simple, Hadamard, and Kronecker products
• Title not available (Why is that?)
• Some results on commutation matrices, with statistical applications
• Risk-based approaches to asset allocation. Concepts and practical applications
• Tailoring the Gaussian law for excess kurtosis and skewness by Hermite polynomials
• Least-squares approach to risk parity in portfolio selection
• Long-only equal risk contribution portfolios for CVaR under discrete distributions

Cited In (3)

• VaR-based risk parity investment strategy and its application
• Study on large-class asset allocation based on risk parity
• Title not available (Why is that?)

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