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Managing Risk Exposures Using the Risk Budgeting Approach · Study

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PreprintManaging Risk Exposures Using the Risk Budgeting Approach

Benjamin Bruder2012

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Preprintgreen2012

Managing Risk Exposures Using the Risk Budgeting Approach

Benjamin Bruder · Thierry Roncalli

98 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1999Coherent Measures of Risk 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?2002Strategic Asset Allocation 2004Honey, I Shrunk the Sample Covariance Matrix 1999Noise Dressing of Financial Correlation Matrices

Cited by

2021Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks 2014Diversifying risk parity 2020Risk parity with expectiles 2023End-to-end risk budgeting portfolio optimization with neural networks 2015SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design

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Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations98

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.2009778

openalex_workW2104928047

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