We describe a simple robust technique for incorporating any type of views on expected returns into the Risk parity framework. Optimal allocations with views are characterized by two key properties. First, assets that are not subject to views remain at risk parity. Second, agnostic (cautious)...

We consider a single-period dual-sourcing problem in which a buyer purchases its products from two different suppliers and sells them to a market with uncertain demand. One supplier is cheaper but less responsive, whereas the other supplier is more responsive but more expensive. The buyer...

This paper describes an approach for implementing earned value (EV) management tracking on small software development projects. Small projects are difficult EV applications because work must be tracked down at the task level so it can be costed out and used as a basis for the budgeted and...

This paper studies the prior-free allocation framework of Chassang (2016) in continuous time, and proposes a simple analytical approximation of the optimal solution. Numerical analysis based on actual and simulated data demonstrates the robustness of the proxy strategy. The result of the paper...

How should one evaluate information in a monotone decision problem where a higher action is optimal for a higher signal realization? As a criterion for comparing information structures in such environments, I develop a condition called monotone quasi-garbling meaning that an information...

The estimation of risk factors and their replication through mimicking portfolios are of critical importance for academics and practitioners in finance. We propose a general optimization framework to construct macro factor mimicking portfolios that encompasses existing portfolio mimicking...

In the banking industry, the common practice to correlate default and migration events of various guarantors is to use correlated asset price returns. This approach, which is basically a copula approach, is used also by KMV's GCorr model and JPMorgan's CreditMetrics model. However, these models...

The literature on proper scoring rules has mostly studied the case of risk neutral agents. We analytically investigate how risk averse, expected utility maximizing forecasters behave when presented with risk neutral proper scoring rules. If the state variable is binary, risk averse agents shade...

Risk-based portfolio strategies - such as Minimum Variance, Maximum Diversification, Equally-Weighted and Risk Parity, to name the most famous - have become increasingly popular in the investment industry due to their return-agnostic and risk management features. In this paper, we show that...

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