A recent popular approach to portfolio selection aims at diversifying risk by looking for the so called Risk Parity portfolios. These are defined by the condition that the risk contributions of all assets to the global risk of the portfolio are equal. The Risk Parity approach has been originally introduced for the volatility risk measure. Here we show how to define Risk Parity portfolios when the expectiles are used as (coherent) risk measures, and we investigate some of their properties. Furthermore, we propose several methods for practically finding Risk Parity portfolios with respect to expectiles and we compare their accuracy and eciency on real-world data.
Bellini, F., Cesarone, F., Colombo, C., Tardella, F. (2019). Risk Parity with Expectiles. In Proceedings of 30th European Conference on Operational Research (pp.327-327).
Risk Parity with Expectiles
F. Cesarone;
2019-01-01
Abstract
A recent popular approach to portfolio selection aims at diversifying risk by looking for the so called Risk Parity portfolios. These are defined by the condition that the risk contributions of all assets to the global risk of the portfolio are equal. The Risk Parity approach has been originally introduced for the volatility risk measure. Here we show how to define Risk Parity portfolios when the expectiles are used as (coherent) risk measures, and we investigate some of their properties. Furthermore, we propose several methods for practically finding Risk Parity portfolios with respect to expectiles and we compare their accuracy and eciency on real-world data.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
