Search Results - subject:"equal risk contribution"

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

Dynamic risk-based optimization on cryptocurrencies

Nugroho, Bayu Adi - In: Journal of capital markets studies 5 (2021) 1, pp. 28-48

volatilities. Hence, this research aimed to present dynamic optimization on minimum variance (MVP), equal risk contribution (ERC …

Persistent link: https://www.econbiz.de/10012624870

Dynamic risk-based optimization on cryptocurrencies

Nugroho, Bayu Adi - In: Journal of Capital Markets Studies (JCMS) 5 (2021) 1, pp. 28-48

volatilities. Hence, this research aimed to present dynamic optimization on minimum variance (MVP), equal risk contribution (ERC …

Persistent link: https://www.econbiz.de/10015327880

Introducing global term structure in a risk parity framework

Stagnol, Lauren - 2017

Persistent link: https://www.econbiz.de/10011738994

The risk parity principle applied on a corporate bond index using Duration Times Spread

Stagnol, Lauren - 2016

Persistent link: https://www.econbiz.de/10011737204

The Smart Beta Indexing Puzzle

Cazalet, Zelia; Grison, Pierre; Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2013

In this article, we consider smart beta indexing, which is an alternative to capitalization-weighted (CW) indexing. In particular, we focus on risk-based (RB) indexing, the aim of which is to capture the equity risk premium more effectively. To achieve this, portfolios are built which are more...

Persistent link: https://www.econbiz.de/10011111866

Managing risk exposures using the risk budgeting approach

Bruder, Benjamin; Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2012

The ongoing economic crisis has profoundly changed the industry of the asset management, by putting risk management at the heart of most investment processes. This new risk-based investment style does not rely on returns forecasts and is therefore assumed to be more robust. In 2011, it has...

Persistent link: https://www.econbiz.de/10009654211