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- W4302012922 abstract "In this paper, we revisit the portfolio allocation problem with designated risk-budget [Qian, 2005]. We generalize the problem of arbitrary risk budgets with unequal correlations to one that includes return forecasts and transaction costs while keeping the no-shorting (long-only positions) constraint. We offer a convex second order cone formulation that scales well with the number of assets and explore solutions to the problem in different settings. In particular, the problem is solved on a few practical cases - on equity and bond asset allocation problems as well as formulating index constituents for the NASDAQ100 index, illustrating the benefits of this approach." @default.
- W4302012922 created "2022-10-06" @default.
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- W4302012922 date "2022-10-03" @default.
- W4302012922 modified "2023-09-27" @default.
- W4302012922 title "Almost Exact Risk Budgeting with Return Forecasts for Portfolio Allocation" @default.
- W4302012922 doi "https://doi.org/10.48550/arxiv.2210.00969" @default.
- W4302012922 hasPublicationYear "2022" @default.
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