SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design

DOI10.1109/TSP.2015.2452219zbMath1394.94183OpenAlexW1778453575MaRDI QIDQ4580843

Yiyong Feng, Daniel P. Palomar

Publication date: 22 August 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tsp.2015.2452219

Mathematics Subject Classification ID

Convex programming (90C25) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Related Items (7)

Cardinality-constrained risk parity portfolios ⋮ Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks ⋮ Risk budgeting portfolios from simulations ⋮ Risk-allocation-based index tracking ⋮ Online portfolio selection with state-dependent price estimators and transaction costs ⋮ Generalized risk parity portfolio optimization: an ADMM approach ⋮ Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization

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