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.
引用
收藏
页码：171 / 175
页数：5
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