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Risk return trade-off in relaxed risk parity portfolio optimization

Gambeta, Vaughn; Kwon, Roy - In: Journal of risk and financial management : JRFM 13 (2020) 10/237, pp. 1-28

reveals that the relaxed risk parity model exhibits advantageous traits of robustness to expected returns, which should not …This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against … the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re …

Persistent link: https://www.econbiz.de/10012387965

Equilibrium under uncertain inflation : a discrete time approach

Levy, Haim - In: Journal of financial and quantitative analysis : JFQA 22 (1987) 3, pp. 285-297

Persistent link: https://www.econbiz.de/10001037500

The investment home bias with peer effect

Levy, Haim - In: Journal of risk and financial management : JRFM 13 (2020) 5/94, pp. 1-19

Observed international diversification implies an investment home bias (IHB). Can bivariate preferences with a local domestic peer group rationalize the IHB? For example, it is argued that wishing to have a large correlation with the Standard and Poor's 500 stock index (S&P 500 stock index) may...

Persistent link: https://www.econbiz.de/10012304869

Multi-period portfolio optimization with investor views under regime switching

Oprisor, Razvan; Kwon, Roy - In: Journal of risk and financial management : JRFM 14 (2021) 1/3, pp. 1-31

formulated as a convex optimization problem that trades off expected return, risk and transaction costs. Using a framework … higher excess returns for the same degree of risk in both the case when an investment view proves to be correct, but, more …

Persistent link: https://www.econbiz.de/10012404153

Cognitive user interface for portfolio optimization

He, Yuehuan; Romanko, Oleksandr; Sienkiewicz, Alina; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-15

This paper describes the development of a chatbot as a cognitive user interface for portfolio optimization. The financial portfolio optimization chatbot is proposed to provide an easy-to-use interface for portfolio optimization, including a wide range of investment objectives and flexibility to...

Persistent link: https://www.econbiz.de/10012522264

Is there an intertemporal relation between downside risk and expected returns?

Bali, Turan G.; Demirtas, K. Ozgur; Levy, Haim - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 4, pp. 883-909

Persistent link: https://www.econbiz.de/10003901202