Risk-Parity and Ambiguity

We show that Risk parity and risk-based models in general can be rationalized as an optimal decision under ambiguity. Risk-based framework represents an extension of Maximum diversification approach of Choueifaty and Coignard (2008) in the presence of ambiguity in risk-adjusted expected returns

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Year of publication:	2014
Authors:	Medvedev, Alexey
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Entscheidung unter Unsicherheit \| Decision under uncertainty \| Theorie \| Theory

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Extent:	1 Online-Ressource (24 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 2014 erstellt
Other identifiers:	10.2139/ssrn.2456442 [DOI]
Classification:	C60 - Mathematical Methods and Programming. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013052269