Kurtosis-based risk parity: methodology and portfolio effects

DOI10.1080/14697688.2022.2145988MaRDI QIDQ6158412zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asset allocationkurtosisrisk diversificationrisk parity

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 896675 (Why is no real title available?)
• Least-squares approach to risk parity in portfolio selection
• Long-only equal risk contribution portfolios for CVaR under discrete distributions
• Matrix differential calculus with applications to simple, Hadamard, and Kronecker products
• Risk parity portfolios with risk factors
• Risk-based approaches to asset allocation. Concepts and practical applications
• Some results on commutation matrices, with statistical applications
• Tailoring the Gaussian law for excess kurtosis and skewness by Hermite polynomials

Cited in

(3)

• VaR-based risk parity investment strategy and its application
• Study on large-class asset allocation based on risk parity
• scientific article; zbMATH DE number 5499149 (Why is no real title available?)

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