In this article, the authors present a conceptual framework named 'Adaptive Seriational Risk Parity' (ASRP) to extend … Hierarchical Risk Parity (HRP) as an asset allocation heuristic. The first step of HRP (quasi-diagonalization) determining the … most of the static tree-based alternatives of HRP outperform the single linkage clustering used in HRP on a risk …

factor risk model, when augmented with reference returns, is capable of generating visually consistent return distributions …

This paper derives ex-ante standard errors of risk premium predictions from neural networks (NNs). Considering standard … that have precise risk premia earns an OOS average monthly return of 3.61% (2.21%). In contrast, the conventional high … financial shocks. In the cross-section, the level and precision of risk premia are correlated, thus NN-based investments deliver …

In this paper, the authors construct a pipeline to benchmark Hierarchical Risk Parity (HRP) relative to Equal Risk …

a strong positive relation to conditional international equity and currency risk premia, as well as a close link to …

specifications based on Expected Utility Theory and theory drawn from behavioural finance. We assess whether machine learning can … findings suggest that machine learning methods provide more accurate models of stock returns based on risk factors than … standard regression-based methods of estimation. They also indicate that certain risk factors and combinations of risk factors …

potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up on standard … performance and risk assessment. We construct Bayesian estimators for alpha-stable distributions in the context of an ARMA …-GARCH time series model with stable disturbances. Our risk evaluation and prediction results are compared to the predictions of a …

setting the allocations, result in higher risk-return ratio …

Inter-temporal risk parity is a strategy that rebalances risky assets and cash in order to target a constant level of … ex-ante risk over time. When applied to equities and compared to a buy-and-hold portfolio it is known to improve the … Sharpe ratio and reduce drawdowns. We apply inter-temporal risk parity strategies to factor investing, namely value and …

, heavy tails, and nonellipticity. It introduces a so-called risk fear portfolio strategy which combines portfolio … optimization with active risk monitoring. The former selects optimal portfolio weights. The later, independently, initiates market … leads to superior multivariate density and Value-at-Risk forecasting, and better portfolio performance. The proposed risk …