Almost exact risk budgeting with return forecasts for portfolio allocation

被引：0
|
作者：
Bhardwaj, Avinash [1 ,2 ]
Hanawal, Manjesh K. [1 ]
Parthasarathy, Purushottam [1 ,3 ]
机构：
[1] Indian Inst Technol, Dept Ind Engn & Operat Res, Mumbai 400076, Maharashtra, India
[2] Indian Inst Technol, Dept Mech Engn, Mumbai 400076, Maharashtra, India
[3] JP Morgan India Pvt Ltd, Bengaluru 560087, Karnataka, India
来源：
OPERATIONS RESEARCH LETTERS | 2023年 / 51卷 / 02期
关键词：
Risk parity; Portfolio optimization; Risk budgeting; Portfolio allocation; Asset allocation; PARITY;
D O I：
10.1016/j.orl.2023.02.002
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
We revisit the portfolio allocation problem with designated risk-budget. We generalize the problem of arbitrary risk budgets with unequal correlations to one that includes return forecasts and transaction costs while keeping the no-shorting constraint. We offer a convex second order cone formulation that scales well with the number of assets and explore solutions to problem variants -on equity-bond asset allocation problems as well as formulating portfolios using index constituents from the NASDAQ100 index, illustrating the benefits of this approach. (c) 2023 Elsevier B.V. All rights reserved.
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页码：171 / 175
页数：5
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