A distributionally robust approach for the risk-parity portfolio selection problem

Risk-parity is one of the most recent and interesting strategies in the portfolio selection area. Considering the mean-standard-deviation risk measure, this paper studies the risk-parity problem under the uncertainty of the covariancematrix. Assuming that the uncertainty is represented by a finite s...

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Bibliographic Details
Main Authors: Maryam Bayat, Farnaz Hooshmand, Seyed Ali MirHassani
Format: Article
Language:English
Published: Amirkabir University of Technology 2025-01-01
Series:AUT Journal of Mathematics and Computing
Subjects:
Online Access:https://ajmc.aut.ac.ir/article_5269_3a438b5e35df55db3734ee55d2e89be9.pdf
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