Abstract | ||
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•We present a detailed theoretical and empirical study of Risk Parity port-folios based on expectiles.•We prove a characterization of Gateaux differentiability and of additivity of expectiles.•We give a straightforward Linear Programming formulation for expectile minimization on historical scenarios.•We suggest three classes of approaches for finding Expectile Risk Parity portfolios.•We extensively compare on real data the suggested classes of approaches in terms of accuracy and efficiency. |
Year | DOI | Venue |
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2021 | 10.1016/j.ejor.2020.10.009 | European Journal of Operational Research |
Keywords | DocType | Volume |
Risk allocation,Expectiles,Risk parity,Portfolio selection,Risk diversification | Journal | 291 |
Issue | ISSN | Citations |
3 | 0377-2217 | 0 |
PageRank | References | Authors |
0.34 | 0 | 4 |
Name | Order | Citations | PageRank |
---|---|---|---|
Fabio Bellini | 1 | 0 | 0.34 |
Francesco Cesarone | 2 | 52 | 3.97 |
Christian Colombo | 3 | 0 | 0.34 |
Fabio Tardella | 4 | 165 | 14.69 |