In this paper we study the properties of Risk Parity portfolios obtained by using expectiles as coherent risk measures. Risk Parity portfolios are defined in general by the condition that all asset risk contributions to the global risk of the portfolio are equal. In order to make this principle operational, it is necessary to specify a decomposition of the total portfolio risk into components that can be attributed to each asset. For this purpose, we adopt the standard Euler decomposition. Furthermore, we propose several approaches for practically nding Risk Parity portfolios and we compare their accuracy and efficiency on real-world data.
Bellini, F., Cesarone, F., Colombo, C., Tardella, F. (2019). Risk Parity with Expectiles. In XX Workshop on Quantitative Finance (pp.1-13).
Risk Parity with Expectiles
Francesco Cesarone;
2019-01-01
Abstract
In this paper we study the properties of Risk Parity portfolios obtained by using expectiles as coherent risk measures. Risk Parity portfolios are defined in general by the condition that all asset risk contributions to the global risk of the portfolio are equal. In order to make this principle operational, it is necessary to specify a decomposition of the total portfolio risk into components that can be attributed to each asset. For this purpose, we adopt the standard Euler decomposition. Furthermore, we propose several approaches for practically nding Risk Parity portfolios and we compare their accuracy and efficiency on real-world data.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
