Traditional stochastic optimization in financial operations research applications consist of a
two-step process:(1) calibrate parameters of the assumed stochastic processes by …

In this article, the authors investigate the performance of the Sharpe parity asset allocation
strategy relative to the more well-known 60/40, mean–variance, risk parity, and min-variance …

This study proposes a principal alpha-style factor integrated risk parity strategy that can
diversify style risk factors and the stock selection risk of external managers in Fund-of-Funds …

In this paper, a risk parity strategy based on portfolio kurtosis as reference measure is
introduced. This strategy allocates the asset weights in a portfolio in a manner that allows an …

We discuss numerous justifications for why crypto-currencies would be highly conducive for
the smooth functioning of today's society. We provide several comparisons between …

In this paper, we investigate the features and the performance of the risk parity (RP)
portfolios using the mean absolute deviation (MAD) as a risk measure. The RP model is a …

Abstract The authors embed Paris Aligned Benchmark (PAB) requirements in an illustrative
multi-asset portfolio containing developed and emerging market equities, sovereign bonds …

An efficient and effective portfolio provides maximum return potential with minimum risk by
choosing an optimal balance among assets. Therefore, the objective of this study is to …

Motivated by the recent market turbulence triggered by the COVID‐19 pandemic and the
changing interest rate environment, we propose an improved investment strategy for …

Uniform budgeting in risk budgeting (RB), which results in risk parity (RP), can be sub-
optimal in the case where assets are correlated. In particular, it may lead to solutions with …