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Introduction to Risk Parity and Budgeting

Citations

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Cited by:

  1. Alex Garivaltis, 2021. "Universal Risk Budgeting," Papers 2106.10030, arXiv.org, revised Oct 2022.
  2. Gilles Boevi Koumou & Georges Dionne, 2022. "Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation," Risks, MDPI, vol. 10(11), pages 1-19, October.
  3. Davide Benedetti & Enrico Biffis & Fotis Chatzimichalakis & Luciano Lilloy Fedele & Ian Simm, 2021. "Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy," Annals of Operations Research, Springer, vol. 299(1), pages 847-871, April.
  4. William Lefebvre & Gregoire Loeper & Huy^en Pham, 2020. "Mean-variance portfolio selection with tracking error penalization," Papers 2009.08214, arXiv.org, revised Sep 2020.
  5. Griveau-Billion, Théophile & Richard, Jean-Charles & Roncalli, Thierry, 2013. "A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios," MPRA Paper 49822, University Library of Munich, Germany.
  6. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2020. "An optimization–diversification approach to portfolio selection," Journal of Global Optimization, Springer, vol. 76(2), pages 245-265, February.
  7. Adil Rengim Cetingoz & Jean-David Fermanian & Olivier Gu'eant, 2022. "Risk Budgeting Portfolios: Existence and Computation," Papers 2211.07212, arXiv.org, revised Sep 2023.
  8. Gianni Pola, 2016. "On entropy and portfolio diversification," Journal of Asset Management, Palgrave Macmillan, vol. 17(4), pages 218-228, July.
  9. Thierry Roncalli & Amina Cherief & Fatma Karray-Meziou & Margaux Regnault, 2021. "Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk," Papers 2105.08377, arXiv.org.
  10. Frieder Meyer-Bullerdiek, 2017. "Rebalancing and Diversification Return – Evidence from the German Stock Market," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 6(2), pages 1-1.
  11. Andrés García-Medina & Norberto A Hernández-Leandro & Graciela González Farías & Nelson Muriel, 2021. "Multistage allocation problem for Mexican pension funds," PLOS ONE, Public Library of Science, vol. 16(4), pages 1-28, April.
  12. Sarah Perrin & Thierry Roncalli, 2019. "Machine Learning Optimization Algorithms & Portfolio Allocation," Papers 1909.10233, arXiv.org.
  13. Marielle de Jong & Lauren Stagnol, 2016. "A fundamental bond index including solvency criteria," Journal of Asset Management, Palgrave Macmillan, vol. 17(4), pages 280-294, July.
  14. Lauren Stagnol, 2016. "The Risk Parity Principle applied on a Corporate Bond Index using Duration Times Spread," EconomiX Working Papers 2016-27, University of Paris Nanterre, EconomiX.
  15. Braga, Maria Debora & Nava, Consuelo Rubina & Zoia, Maria Grazia, 2023. "Kurtosis-based vs volatility-based asset allocation strategies: Do they share the same properties? A first empirical investigation," Finance Research Letters, Elsevier, vol. 54(C).
  16. Timo Dimitriadis & Yannick Hoga, 2023. "Regressions under Adverse Conditions," Papers 2311.13327, arXiv.org.
  17. Olessia Caillé & Daria Onori, 2019. "Conditional Risk-Based Portfolio," Finance, Presses universitaires de Grenoble, vol. 40(2), pages 77-117.
  18. Burkhardt, Raphael & Ulrych, Urban, 2023. "Sparse and stable international portfolio optimization and currency risk management," Journal of International Money and Finance, Elsevier, vol. 139(C).
  19. Craig, Ben & Giuzio, Margherita & Paterlini, Sandra, 2019. "The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios," ESRB Working Paper Series 89, European Systemic Risk Board.
  20. William Lefebvre & Grégoire Loeper & Huyên Pham, 2020. "Mean-Variance Portfolio Selection with Tracking Error Penalization," Mathematics, MDPI, vol. 8(11), pages 1-23, November.
  21. M. Barkhagen & S. García & J. Gondzio & J. Kalcsics & J. Kroeske & S. Sabanis & A. Staal, 2023. "Optimising portfolio diversification and dimensionality," Journal of Global Optimization, Springer, vol. 85(1), pages 185-234, January.
  22. Margherita Giuzio & Kay Eichhorn-Schott & Sandra Paterlini & Vincent Weber, 2018. "Tracking hedge funds returns using sparse clones," Annals of Operations Research, Springer, vol. 266(1), pages 349-371, July.
  23. Ran Ji & Miguel A. Lejeune, 2018. "Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints," Annals of Operations Research, Springer, vol. 262(2), pages 547-578, March.
  24. Kato, Kensuke & Nakamura, Nobuhiro, 2023. "Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 612(C).
  25. Willliam Lefebvre & Gregoire Loeper & Huyên Pham, 2020. "Mean-variance portfolio selection with tracking error penalization," Working Papers hal-02941289, HAL.
  26. Anis, Hassan T. & Kwon, Roy H., 2022. "Cardinality-constrained risk parity portfolios," European Journal of Operational Research, Elsevier, vol. 302(1), pages 392-402.
  27. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
  28. Ricca, Federica & Scozzari, Andrea, 2024. "Portfolio optimization through a network approach: Network assortative mixing and portfolio diversification," European Journal of Operational Research, Elsevier, vol. 312(2), pages 700-717.
  29. Andr'es Garc'ia-Medina & Benito Rodrigu'ez-Camejo, 2023. "Random matrix theory and nested clustered portfolios on Mexican markets," Papers 2306.05667, arXiv.org.
  30. Sebastian Jaimungal & Silvana M. Pesenti & Yuri F. Saporito & Rodrigo S. Targino, 2023. "Risk Budgeting Allocation for Dynamic Risk Measures," Papers 2305.11319, arXiv.org, revised Mar 2024.
  31. Christian Bongiorno & Damien Challet, 2022. "Reactive global minimum variance portfolios with k-BAHC covariance cleaning," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1344-1360, October.
  32. Tung-Lam Dao & Trung-Tu Nguyen & Cyril Deremble & Yves Lemp'eri`ere & Jean-Philippe Bouchaud & Marc Potters, 2016. "Tail protection for long investors: Trend convexity at work," Papers 1607.02410, arXiv.org.
  33. Jean-Charles Richard & Thierry Roncalli, 2019. "Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles," Papers 1902.05710, arXiv.org.
  34. Lauren Stagnol, 2015. "Designing a corporate bond index on solvency criteria," EconomiX Working Papers 2015-39, University of Paris Nanterre, EconomiX.
  35. MUTEBA MWAMBA, John Weirstrass & MANTSHIMULI, Lamukanyani, 2017. "On the Protection of Investment Capital During Financial Crisis in the South African Equity Market: A Risk-Based Asset Allocation Approach," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 70(2), pages 165-192.
  36. da Costa, B. Freitas Paulo & Pesenti, Silvana M. & Targino, Rodrigo S., 2023. "Risk budgeting portfolios from simulations," European Journal of Operational Research, Elsevier, vol. 311(3), pages 1040-1056.
  37. Thierry Roncalli, 2018. "Keep up the momentum," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 351-361, September.
  38. Bernardo Freitas Paulo da Costa & Silvana M. Pesenti & Rodrigo S. Targino, 2023. "Risk Budgeting Portfolios from Simulations," Papers 2302.01196, arXiv.org.
  39. Hubert Dichtl & Wolfgang Drobetz & Viktoria‐Sophie Wendt, 2021. "How to build a factor portfolio: Does the allocation strategy matter?," European Financial Management, European Financial Management Association, vol. 27(1), pages 20-58, January.
  40. Johann Pfitzinger & Nico Katzke, 2019. "A constrained hierarchical risk parity algorithm with cluster-based capital allocation," Working Papers 14/2019, Stellenbosch University, Department of Economics.
  41. Pierre Chen & Edmond Lezmi & Thierry Roncalli & Jiali Xu, 2020. "A Note on Portfolio Optimization with Quadratic Transaction Costs," Papers 2001.01612, arXiv.org.
  42. Cesarone, Francesco & Mango, Fabiomassimo & Mottura, Carlo Domenico & Ricci, Jacopo Maria & Tardella, Fabio, 2020. "On the stability of portfolio selection models," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 210-234.
  43. Kremer, Philipp J. & Lee, Sangkyun & Bogdan, Małgorzata & Paterlini, Sandra, 2020. "Sparse portfolio selection via the sorted ℓ1-Norm," Journal of Banking & Finance, Elsevier, vol. 110(C).
  44. Thibault Bourgeron & Edmond Lezmi & Thierry Roncalli, 2019. "Robust Asset Allocation for Robo-Advisors," Papers 1902.07449, arXiv.org.
  45. Andrea Fronzetti Colladon & Stefano Grassi & Francesco Ravazzolo & Francesco Violante, 2023. "Forecasting financial markets with semantic network analysis in the COVID‐19 crisis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(5), pages 1187-1204, August.
  46. Tom Erik Sønsteng Henriksen & Alois Pichler & Sjur Westgaard & Stein Frydenberg, 2019. "Can commodities dominate stock and bond portfolios?," Annals of Operations Research, Springer, vol. 282(1), pages 155-177, November.
  47. Benjamin Bruder & Nazar Kostyuchyk & Thierry Roncalli, 2022. "Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia," Papers 2202.10721, arXiv.org.
  48. Adil Rengim Cetingoz & Olivier Gu'eant, 2023. "Factor Risk Budgeting and Beyond," Papers 2312.11132, arXiv.org.
  49. Paola Stolfi & Mauro Bernardi & Lea Petrella, 2018. "The sparse method of simulated quantiles: An application to portfolio optimization," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(3), pages 375-398, August.
  50. Xavier Warin, 2016. "The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach," Papers 1611.04877, arXiv.org.
  51. Elisabetta Cagna & Giulio Casuccio, 2014. "Equally-weighted Risk Contribution Portfolios: an empirical study using expected shortfall," CeRP Working Papers 142, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  52. Francesco Cesarone & Fabio Tardella, 2017. "Equal Risk Bounding is better than Risk Parity for portfolio selection," Journal of Global Optimization, Springer, vol. 68(2), pages 439-461, June.
  53. Younes Berouaga & Cherif El Msiyah & Jaouad Madkour, 2023. "Portfolio Optimization Using Minimum Spanning Tree Model in the Moroccan Stock Exchange Market," IJFS, MDPI, vol. 11(2), pages 1-20, March.
  54. Philipp J. Kremer & Andreea Talmaciu & Sandra Paterlini, 2018. "Risk minimization in multi-factor portfolios: What is the best strategy?," Annals of Operations Research, Springer, vol. 266(1), pages 255-291, July.
  55. Marielle Jong, 2018. "Portfolio optimisation in an uncertain world," Journal of Asset Management, Palgrave Macmillan, vol. 19(4), pages 216-221, July.
  56. Th'eo Roncalli & Th'eo Le Guenedal & Fr'ed'eric Lepetit & Thierry Roncalli & Takaya Sekine, 2020. "Measuring and Managing Carbon Risk in Investment Portfolios," Papers 2008.13198, arXiv.org.
  57. Luis Lorenzo & Javier Arroyo, 2023. "Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-40, December.
  58. Paskalis Glabadanidis, 2022. "Portfolio weights concentration: optimal strategies and equilibrium implications," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 19(3), pages 572-582, May.
  59. Masset, Philippe & Maurer, Frantz, 2021. "Mitigating downside risk of portfolio diversification: Wine versus other tangible assets," Economic Modelling, Elsevier, vol. 102(C).
  60. Kai Zheng & Weidong Xu & Xili Zhang, 2023. "Multivariate Regime Switching Model Estimation and Asset Allocation," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 165-196, January.
  61. Weichuan Deng & Pawel Polak & Abolfazl Safikhani & Ronakdilip Shah, 2023. "A Unified Framework for Fast Large-Scale Portfolio Optimization," Papers 2303.12751, arXiv.org, revised Nov 2023.
  62. Kim, Abby Y. & Tse, Yiuman & Wald, John K., 2016. "Time series momentum and volatility scaling," Journal of Financial Markets, Elsevier, vol. 30(C), pages 103-124.
  63. Roberto Savona & Cesare Orsini, 2019. "Taking the right course navigating the ERC universe," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 157-174, May.
  64. Cazalet, Zelia & Grison, Pierre & Roncalli, Thierry, 2013. "The Smart Beta Indexing Puzzle," MPRA Paper 48823, University Library of Munich, Germany.
  65. Bruno Spilak & Wolfgang Karl Hardle, 2022. "Risk budget portfolios with convex Non-negative Matrix Factorization," Papers 2204.02757, arXiv.org, revised Jun 2023.
  66. Michalis Kapsos & Nicos Christofides & Berc Rustem, 2018. "Robust risk budgeting," Annals of Operations Research, Springer, vol. 266(1), pages 199-221, July.
  67. Lourme, Alexandre & Maurer, Frantz, 2017. "Testing the Gaussian and Student's t copulas in a risk management framework," Economic Modelling, Elsevier, vol. 67(C), pages 203-214.
  68. Massimiliano Kaucic & Roberto Daris, 2015. "Multi-Objective Stochastic Optimization Programs for a Non-Life Insurance Company under Solvency Constraints," Risks, MDPI, vol. 3(3), pages 1-30, September.
  69. Paskalis Glabadanidis, 2016. "Maximizing excess return per unit variance: A novel investment management objective," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 486-501, December.
  70. Damian Kisiel & Denise Gorse, 2021. "A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection," Papers 2111.05935, arXiv.org.
  71. Joan Gonzalvez & Edmond Lezmi & Thierry Roncalli & Jiali Xu, 2019. "Financial Applications of Gaussian Processes and Bayesian Optimization," Papers 1903.04841, arXiv.org.
  72. Raphael Benichou & Yves Lemp'eri`ere & Emmanuel S'eri'e & Julien Kockelkoren & Philip Seager & Jean-Philippe Bouchaud & Marc Potters, 2016. "Agnostic Risk Parity: Taming Known and Unknown-Unknowns," Papers 1610.08818, arXiv.org.
  73. Charles-Albert Lehalle & Guillaume Simon, 2021. "Portfolio selection with active strategies: how long only constraints shape convictions," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 443-463, October.
  74. Tristan Froidure & Khalid Jalalzai & Yves Choueifaty, 2019. "Portfolio Rho-Presentativity," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-52, November.
  75. Roncalli, Thierry, 2013. "Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation," MPRA Paper 49821, University Library of Munich, Germany.
  76. Gianni Filograsso & Giacomo Tollo, 2023. "Adaptive evolutionary algorithms for portfolio selection problems," Computational Management Science, Springer, vol. 20(1), pages 1-38, December.
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