Mean-variance portfolio theory remains frequently used as investment rationale because of its simplicity, its closed-form solution, and the availability of many well-performing robust estimators. At the same time, it is also frequently rejected on the grounds that it ignores the higher moments...

A natural approach to enhance portfolio diversification is to rely on factor-risk parity, which yields the portfolio whose risk is equally spread among a set of uncorrelated factors. The standard choice is to take the variance as risk measure, and the principal components (PCs) of asset returns...

Accounting for the non-normality of asset returns remains challenging in robust portfolio optimization. In this article, we tackle this problem by assessing the risk of the portfolio through the "amount of randomness" conveyed by its returns. We achieve this by using an objective function that...