Risk Parity with Expectiles

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Conference object 01 Jan 2019 Italy English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Fabio Bellini; Francesco Cesarone; Christian Colombo 0002; Fabio Tardella;

doi: 10.2139/ssrn.3419747 , 10.1016/j.ejor.2020.10.009

handle: 10281/288807 , 11590/371857 , 11590/346111 , 11590/360649 , 11590/360648 , 2158/1247464

Risk Parity with Expectiles

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Abstract

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Country

Italy

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Keywords

Risk Allocation, Expectiles, Risk Parity, Portfolio Selection, Risk Diversification, Risk Diversification, Portfolio Selection, Equal Risk Contribution, Expectiles; Portfolio selection; Risk allocation; Risk diversification; Risk parity, risk diversification, Expectiles; Portfolio selection; Risk allocation; Risk diversification; Risk parity;, risk parity, Portfolio theory, Linear programming, expectiles, Risk models (general), portfolio selection, risk allocation, Statistical methods; risk measures

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