A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios
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- 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.
References listed on IDEAS
- Bruder, Benjamin & Roncalli, Thierry, 2012. "Managing risk exposures using the risk budgeting approach," MPRA Paper 37246, University Library of Munich, Germany.
- Roncalli, Thierry, 2013. "Introduction to Risk Parity and Budgeting," MPRA Paper 47679, University Library of Munich, Germany.
- repec:dau:papers:123456789/4688 is not listed on IDEAS
- Friedman, Jerome H. & Hastie, Trevor & Tibshirani, Rob, 2010. "Regularization Paths for Generalized Linear Models via Coordinate Descent," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 33(i01).
- T. Heller & R. Huet & Bénédicte Vidaillet, 2013. "Introduction," Post-Print hal-00848256, HAL.
- Cazalet, Zelia & Grison, Pierre & Roncalli, Thierry, 2013. "The Smart Beta Indexing Puzzle," MPRA Paper 48823, University Library of Munich, Germany.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jean-Charles Richard & Thierry Roncalli, 2019. "Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles," Papers 1902.05710, arXiv.org.
More about this item
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-22 (All new papers)
- NEP-CMP-2013-11-22 (Computational Economics)
- NEP-RMG-2013-11-22 (Risk Management)
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