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• W4379618761 startingPage "1040" @default.
• W4379618761 abstract "Risk budgeting is a portfolio strategy where each asset contributes a prespecified amount to the aggregate risk of the portfolio. In this work, we propose an efficient numerical framework that uses only simulations of returns for estimating risk budgeting portfolios. Besides a general cutting planes algorithm for determining the weights of risk budgeting portfolios for arbitrary coherent distortion risk measures, we provide a specialised version for the Expected Shortfall, and a tailored Stochastic Gradient Descent (SGD) algorithm, also for the Expected Shortfall. We compare our algorithm to standard convex optimisation solvers and illustrate different risk budgeting portfolios, constructed using an especially designed Julia package, on real financial data and compare it to classical portfolio strategies." @default.
• W4379618761 created "2023-06-08" @default.
• W4379618761 creator A5005873558 @default.
• W4379618761 creator A5025814071 @default.
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• W4379618761 date "2023-12-01" @default.
• W4379618761 modified "2023-10-17" @default.
• W4379618761 title "Risk budgeting portfolios from simulations" @default.
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• W4379618761 doi "https://doi.org/10.1016/j.ejor.2023.06.003" @default.
• W4379618761 hasPublicationYear "2023" @default.
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