Risk parity portfolios with risk factors

DOI10.1080/14697688.2015.1046907zbMath1468.91147OpenAlexW3122395237MaRDI QIDQ5001136

No author found.

Publication date: 16 July 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2015.1046907

zbMATH Keywords

diversificationfactor modelconcentrationstrategic asset allocationrisk budgetingrisk parityERC portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (10)

Rao’s quadratic entropy and maximum diversification indexation ⋮ Optimising portfolio diversification and dimensionality ⋮ The performance of bank portfolio optimization ⋮ Kurtosis-based risk parity: methodology and portfolio effects ⋮ Almost exact risk budgeting with return forecasts for portfolio allocation ⋮ Dynamic Score-Driven Independent Component Analysis ⋮ Multifactor portfolio construction by factor risk parity strategies: an empirical comparison of global stock markets ⋮ Connectedness versus diversification: two sides of the same coin ⋮ Risk parity portfolio optimization under a Markov regime-switching framework ⋮ Optimal Portfolio Diversification via Independent Component Analysis

Cites Work

• Numerical Analysis for Statisticians

This page was built for publication: Risk parity portfolios with risk factors