Publication: Risk Parity Portfolio Optimization under Heavy-Tailed Returns and Time-Varying Volatility
Risk Parity Portfolio Optimization under Heavy-Tailed Returns and Time-Varying Volatility
Date
Date
Date
Citations
Paolella, M., Polak, P., & Walker, P. S. (2023). Risk Parity Portfolio Optimization under Heavy-Tailed Returns and Time-Varying Volatility (No. 4652551; SSRN). https://doi.org/10.2139/ssrn.4652551
Abstract
Abstract
Abstract
Risk parity portfolio optimization, using expected shortfall as the risk measure, is investigated when asset returns are fat-tailed and heteroscedastic. The conditional return distribution is modeled by an elliptical multivariate generalized hyperbolic distribution, allowing for fast parameter estimation, via an expectation-maximization algorithm and a semi-closed form of the risk contributions. The efficient computation of non-Gaussian risk parity weights sidesteps the need for numerical simulations or Cornish-Fisher-type approximati
Metrics
Downloads
Views
Citations
Additional indexing
Creators (Authors)
Series Name
Series Name
Series Name
Item Type
Item Type
Item Type
In collections
JEL Classification
JEL Classification
JEL Classification
C53
C55
G11
Keywords
Scope
Scope
Scope
Language
Language
Language
Publication date
Publication date
Publication date
Date available
Date available
Date available
Number of pages
Number of pages
Number of pages
ISSN or e-ISSN
ISSN or e-ISSN
ISSN or e-ISSN
OA Status
OA Status
OA Status
Free Access at
Free Access at
Free Access at
Publisher DOI
Other Identification Number
Other Identification Number
Other Identification Number
Metrics
Downloads
Views
Citations
Citations
Paolella, M., Polak, P., & Walker, P. S. (2023). Risk Parity Portfolio Optimization under Heavy-Tailed Returns and Time-Varying Volatility (No. 4652551; SSRN). https://doi.org/10.2139/ssrn.4652551
