Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/337245 
Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] Journal of Derivatives and Quantitative Studies: Seonmul yeon'gu (JDQS) [ISSN:] 2713-6647 [Volume:] 30 [Issue:] 2 [Year:] 2022 [Pages:] 114-124
Verlag: 
Emerald, Leeds
Zusammenfassung: 
Risk parity, also known as equal risk contribution, has recently gained increasing attention as a portfolio allocation method. However, solving portfolio weights must resort to numerical methods as the analytic solution is not available. This study improves two existing iterative methods: the cyclical coordinate descent (CCD) and Newton methods. The authors enhance the CCD method by simplifying the formulation using a correlation matrix and imposing an additional rescaling step. The authors also suggest an improved initial guess inspired by the CCD method for the Newton method. Numerical experiments show that the improved CCD method performs the best and is approximately three times faster than the original CCD method, saving more than 40% of the iterations.
Schlagwörter: 
Risk parity
Equal risk contribution
Cyclical coordinate descent
Newton method
JEL: 
G10
G13
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
582.93 kB





Publikationen in EconStor sind urheberrechtlich geschützt.