Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Jean-Charles Richard"'
Autor:
Thierry Roncalli, Jean-Charles Richard
Publikováno v:
SSRN Electronic Journal.
This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the optimization
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::053872163da6913e7ef85eb61a2b9fe8
https://doi.org/10.2139/ssrn.3331184
https://doi.org/10.2139/ssrn.3331184
Autor:
Jean-Charles Richard, Thierry Roncalli
In this chapter, we consider a new framework for understanding risk-based portfolios (global minimum variance (GMV), equally weighted (EW), equal risk contribution (ERC) and most diversified portfolio (MDP)). This framework is similar to the constrai
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::725f8d4493f74491f3c60b5ade8e6775
https://doi.org/10.1016/b978-1-78548-008-9.50002-2
https://doi.org/10.1016/b978-1-78548-008-9.50002-2
In this paper we propose a cyclical coordinate descent (CCD) algorithm for solving high dimensional risk parity problems. We show that this algorithm converges and is very fast even with large covariance matrices (n > 500). Comparison with existing a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::090426649aaadeb8eb2a2b638e39a3d1
Publikováno v:
SSRN Electronic Journal.
The mean-variance optimization (MVO) theory of Markowitz (1952) for portfolio selection is one of the most important methods used in quantitative finance. This portfolio allocation needs two input parameters, the vector of expected returns and the co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::67c223cd9110bc61e2990348b7bae815
https://doi.org/10.2139/ssrn.2767358
https://doi.org/10.2139/ssrn.2767358
Publikováno v:
SSRN Electronic Journal.
This paper studies trend filtering methods. These methods are widely used in momentum strategies, which correspond to an investment style based only on the history of past prices. For example, the CTA strategy used by hedge funds is one of the best-k
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2c6af756c837c27ce2b3525f743e7c2c
https://doi.org/10.2139/ssrn.2289097
https://doi.org/10.2139/ssrn.2289097