Search Results - subject:"Risk Contribution"

Portfolio optimization using cellwise robust association measures and clustering methods with application to highly volatile markets

Menvouta, Emmanuel Jordy; Serneels, Sven; Verdonck, Tim - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-13

This paper introduces the minCluster portfolio, which is a portfolio optimization method combining the optimization of downside risk measures, hierarchical clustering and cellwise robustness. Using cellwise robust association measures, the minCluster portfolio is able to retrieve the underlying...

Persistent link: https://www.econbiz.de/10014514018

Improved iterative methods for solving risk parity portfolio

Choi, Jaehyuk; Chen, Rong - In: Journal of derivatives and quantitative studies : … 30 (2022) 2, pp. 114-124

Risk parity, also known as equal risk contribution, has recently gained increasing attention as a portfolio allocation …

Persistent link: https://www.econbiz.de/10013202393

Using deep reinforcement learning with hierarchical risk parity for portfolio optimization

Millea, Adrian; Edalat, Abbas - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-16

(HRP) and Hierarchical Equal Risk Contribution (HERC) models with different hyperparameters, which all run in parallel, off …, representing low-level agents. For the low-level agents, we use a set of Hierarchical Risk Parity (HRP) and Hierarchical Equal Risk … Contribution (HERC) models with different hyperparameters, which all run in parallel, off-market (in a simulation). The information …

Persistent link: https://www.econbiz.de/10013545887

Stochastic orders and distortion risk contribution ratio measures

Zhang, Yiying - In: Insurance : mathematics and economics 118 (2024), pp. 104-122

Persistent link: https://www.econbiz.de/10015067027

Pricing risk contribution of general Takaful by spatial generalized linear mixed models at the level of tariff cells

Farsangi, Reza Hajipour; Mahdavi, Ghadir; Khaledi, … - 2024

Persistent link: https://www.econbiz.de/10015358252

Investment network and stock's systemic risk contribution : evidence from China

Xiang, Youtao; Borjigin, Sumuya - In: The quarterly review of economics and finance 94 (2024), pp. 113-132

Persistent link: https://www.econbiz.de/10014494662

Measuring systemic risk contribution : a higher-order moment augmented approach

Wang, Peiwen; Huang, Guanglin - In: Finance research letters 59 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014445409

Influential risk spreaders and systemic risk in Chinese financial networks

Yang, Ming-Yuan; Wu, Zhen-Guo; Wu, Xin; Li, Sai-Ping - In: Emerging markets review 60 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014533619

The impact of derivatives use on systemic risk of Africa's banking system

Bekale, Audrey Nguema; Alagidede, Imhotep Paul; Mensah, … - In: Journal of African business 25 (2024) 3, pp. 486-508

Persistent link: https://www.econbiz.de/10015049508

Pricing risk contribution of general Takaful by spatial generalized linear mixed models at the level of tariff cells

Hajipour Farsangi, Reza; Mahdavi, Ghadir; Jafari … - In: International Journal of Islamic and Middle Eastern … 17 (2024) 4, pp. 811-830

Purpose This study aims to price the risk contribution of general Takaful at the level of tariff cells, considering a … general Takaful, are used to price pure risk contribution (PRC). Findings The results reveal that the SGLMM yields more … application of pricing risk contribution using innovative modeling of claim frequency and severity at the level of tariff cells. …

Persistent link: https://www.econbiz.de/10015348133