Search Results - subject:"risk parity"

Diversified reward-risk parity in portfolio construction

Choi, Jaehyung; Kim, Hyangju; Kim, Young Shin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 29 (2025) 2, pp. 213-233

Persistent link: https://www.econbiz.de/10015438088

Asymmetric volatility spillovers in varying market conditions and portfolio performance analysis of the south african foreign exchange market

Ntare, Hamdan Bukenya; Muteba Mwamba, John; Adekambi, Franck - In: Economies : open access journal 13 (2025) 8, pp. 1-33

three canonical strategies: risk parity, tangency, and naïve equal-weighting. Our findings indicate that the COVID-19 shock …

Persistent link: https://www.econbiz.de/10015447876

Asymmetric volatility spillovers in varying market conditions and portfolio performance analysis of the south african foreign exchange market

Ntare, Hamdan Bukenya; Muteba Mwamba, John; Adekambi, Franck - In: Economies 13 (2025) 8, pp. 1-33

three canonical strategies: risk parity, tangency, and naïve equal-weighting. Our findings indicate that the COVID-19 shock …

Persistent link: https://www.econbiz.de/10015469645

Risk budgeting using a generalized diversity index

Koumou, Gilles Boevi - In: Journal of asset management : a major new, … 24 (2023) 6, pp. 443-458

Persistent link: https://www.econbiz.de/10014419523

Addressing climate challenges through ESG-real estate investment strategies : an asset allocation perspective

Biasin, Massimo; Delle Foglie, Andrea; Giacomini, Emanuela - In: Finance research letters 63 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014531592

Portfolio optimization and risk management through Hierarchical Risk Parity and Logic Learning Machine : a case study applied to the Turkish stock market

Gaggero, Giacomo; Giribone, Pier Giuseppe; Muselli, Marco; … - In: Risk management magazine 19 (2024) 1, pp. 26-49

proceed to focus on the Hierarchical Risk Parity (HRP) method. HRP overcomes some of the limitations of Markowitz's model … Learning Machine (LLM) method to enhance the explainability of the Hierarchical Risk Parity strategy. Such integration is …

Persistent link: https://www.econbiz.de/10014555705

Portfolio rebalancing based on time series momentum and downside risk

Guo, Xiaoshi; Ryan, Sarah M. - In: IMA journal of management mathematics 34 (2023) 2, pp. 355-381

Persistent link: https://www.econbiz.de/10014313747

Risk budgeting allocation for dynamic risk measures

Pesenti, Silvana M.; Jaimungal, Sebastian; Saporito, Yuri F. - In: Operations research 73 (2025) 3, pp. 1208-1229

Persistent link: https://www.econbiz.de/10015445712

Smart Beta investing: An alternative investment paradigm in emerging Indian equity market

Monga, Reema; Aggrawal, Deepti; Singh, Jagvinder - In: Organizations and Markets in Emerging Economies 13 (2022) 1, pp. 209-237

This paper fundamentally looks at the novel concept of Smart Beta investing in constructing a more efficient and well-diversified alternative investment. Smart beta has been a popular investment philosophy, although emerging countries have been slower to adopt and execute it. In this way, the...

Persistent link: https://www.econbiz.de/10015401660

Kurtosis-based risk parity : methodology and portfolio effects

Braga, Maria Debora; Nava, Consuelo Rubina; Zoia, Maria … - 2022

Persistent link: https://www.econbiz.de/10013366418

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