Robust risk budgeting

DOI10.1007/S10479-017-2469-4MaRDI QIDQ1621907zbMATH OpenOpenAlexFDO

Authors Michalis Kapsos, Nicos Christofides, Berç Rustem

Publication date 12 November 2018

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-017-2469-4

zbMATH Keywords

robustcontributionriskparitybudgeting

Mathematics Subject Classification ID

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

Recommendations

• Introduction to risk parity and budgeting
• Equal risk bounding is better than risk parity for portfolio selection
• Data-driven distributionally robust risk parity portfolio optimization
• Robust portfolio asset allocation and risk measures
• Robust portfolio asset allocation and risk measures

Cites work

• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• An algorithm for constrained nonlinear optimization under uncertainty
• Coherent measures of risk
• Generalized deviations in risk analysis
• Introduction to risk parity and budgeting
• On consistency of stochastic dominance and mean-semideviation models
• Robust asset allocation
• Semi-infinite programming and applications to minimax problems
• Worst-case conditional value-at-risk with application to robust portfolio management
• Worst-case robust Omega ratio

Cited in

(11)

• scientific article; zbMATH DE number 5670776 (Why is no real title available?)
• Recent advancements in robust optimization for investment management
• Risk parity portfolios with risk factors
• Corporate hedging: an answer to the ``how question
• Almost exact risk budgeting with return forecasts for portfolio allocation
• Risk parity portfolio optimization under a Markov regime-switching framework
• Introduction to risk parity and budgeting
• Robust portfolio optimization: a categorized bibliographic review
• Risk budgeting portfolios: existence and computation
• Robust risk management
• Scenario-based stochastic model and efficient cross-entropy algorithm for the risk-budgeting problem

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