文章基本信息

标题：Risk Return Trade-Off in Relaxed Risk Parity Portfolio Optimization
本地全文：下载
作者：Vaughn Gambeta ; Roy Kwon
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2020
卷号：13
期号：10
页码：1-28
DOI：10.3390/jrfm13100237
语种：English
出版社：MDPI, Open Access Journal
摘要：This paper formulates a relaxed risk parity optimization model to control the balanceof risk parity violation against the total portfolio performance. Risk parity has been criticized asbeing overly conservative and it is improved by re-introducing the asset expected returns intothe model and permitting the portfolio to violate the risk parity condition. This paper proposesthe incorporation of an explicit target return goal with an intuitive target return approach intoa second-order-cone model of a risk parity optimization. When the target return is greater than riskparity return, a violation to risk parity allocations occurs that is controlled using a computationalconstruct to obtain near-risk parity portfolios to retain as much risk parity-like traits as possible.This model is used to demonstrate empirically that higher returns can be achieved than risk paritywithout the risk contributions deviating dramatically from the risk parity allocations. Furthermore,this study reveals that the relaxed risk parity model exhibits advantageous traits of robustness toexpected returns, which should not deter the use of expected returns in risk parity model.
关键词：portfolio optimization; risk parity; equal-risk budget; relaxation; asset allocation; marginal risk contribution; robust optimization; Markowitz; risk-based; robust