Risk parity: An alternative formulation for risk-averse stochastic optimization in presence of heavy-tailed distribution of losses
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DOI: 10.1080/01605682.2022.2096494
Abstract: Abstract The concept of Risk Parity (or Equal Risk Contribution), which has been widely used in financial portfolio management, aims at explicitly enforcing diversification in a portfolio by ensuring equal contribution from each asset to… read more here.
Keywords: risk parity; risk averse; risk; averse stochastic ... See more keywords