Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles

2019 ◽  
Author(s):  
Jean-Charles Richard ◽  
Thierry Roncalli
Keyword(s):  
Risk Budgeting

The Integration of Risk Budgeting into Attribution Analysis

2001 ◽  
Vol 2001 (3) ◽  
pp. 38-46
Author(s):  
Wayne A. Kozun
Keyword(s):  
Risk Budgeting ◽  
Attribution Analysis

An Integrated Risk-Budgeting Approach for Multi-Strategy Equity Portfolios

CFA Digest ◽  
2014 ◽  
Vol 44 (11) ◽  
Author(s):  
Lee M. Dunham
Keyword(s):  
Risk Budgeting ◽  
Integrated Risk ◽  
Equity Portfolios

scholarly journals A Risk Budgeting Approach Improved by Genetic Algorithms

2020 ◽  
Author(s):  
Tian Yu ◽  
Kai Liu ◽  
Tao Sun
Keyword(s):  
Genetic Algorithms ◽  
Risk Budgeting

scholarly journals THE VAR AT RISK

2010 ◽  
Vol 13 (04) ◽  
pp. 503-506 ◽  
Author(s):  
ALFRED GALICHON
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Capital Requirements ◽  
Regulatory Capital ◽  
Regulatory Arbitrage ◽  
Risk Budgeting ◽  
Holding Company

I show that the structure of the firm is not neutral with respect to regulatory capital budgeted under rules which are based on the Value-at-Risk. Indeed, when a holding company has the liberty to divide its risk into as many subsidiaries as needed, and when the subsidiaries are subject to capital requirements according to the Value-at-Risk budgeting rule, then there is an optimal way to divide risk which is such that the total amount of capital to be budgeted by the shareholder is zero. This result may lead to regulatory arbitrage by some firms.

scholarly journals Optimal Risk Budgeting under a Finite Investment Horizon

Risks ◽  
2019 ◽  
Vol 7 (3) ◽  
pp. 86
Author(s):  
Marcos López de Prado ◽  
Ralph Vince ◽  
Qiji Jim Zhu
Keyword(s):  
Quantitative Methods ◽  
Optimal Portfolio ◽  
Investment Horizon ◽  
Risk Averse ◽  
Growth Optimal Portfolio ◽  
Risk Budgeting ◽  
Risk Parity ◽  
Risk Neutral ◽  
Mean Variance

The Growth-Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. This multi-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz’s mean-variance or risk parity. The GOP literature typically considers risk-neutral investors with an infinite investment horizon. In this paper, we compute the optimal bet sizes in the more realistic setting of risk-averse investors with finite investment horizons. We find that, under this more realistic setting, the optimal bet sizes are considerably smaller than previously suggested by the GOP literature. We also develop quantitative methods for determining the risk-adjusted growth allocations (or risk budgeting) for a given finite investment horizon.

A Generalized Risk Budgeting Approach to Portfolio Construction

2015 ◽  
Author(s):  
Martin Haugh ◽  
Garud Iyengar ◽  
Irene Song
Keyword(s):  
Portfolio Construction ◽  
Risk Budgeting

Risk Budgeting

2002 ◽  
Vol 4 (4) ◽  
pp. 91-92
Author(s):  
Jot Yau
Keyword(s):  
Risk Budgeting

scholarly journals Optimal Risk Budgeting Under a Finite Investment Horizon

2013 ◽  
Author(s):  
Marcos Lopez de Prado ◽  
Ralph Vince ◽  
Qiji Jim Zhu
Keyword(s):  
Investment Horizon ◽  
Risk Budgeting

Risk Budgeting

2015 ◽  
pp. 207-214
Keyword(s):  
Risk Budgeting
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