risk parity – Optimization Online

Alternating direction methods for non convex optimization with applications to second-order least-squares and risk parity portfolio selection

Published: 2015/02/11

Finance and Economics, Nonlinear Optimization, Nonlinear Systems and Least-Squares alternating direction method, alternating linearization method, augmented lagrangian method, quartic optimization, risk parity, sum of squares

In this paper we mainly focus on optimization of sums of squares of quadratic functions, which we refer to as second-order least-squares problems, subject to convex constraints. Our motivation arises from applications in risk parity portfolio selection. We generalize the setting further by considering a class of nonlinear, non convex functions which admit a (non … Read more

Least-squares approach to risk parity in portfolio selection

Published: 2013/10/21

Xi Bai

Katya Scheinberg

Reha H. Tütüncü

Finance and Economics alternating direction method, alternating linearization method, asset allocation, risk parity

The risk parity optimization problem aims to find such portfolios for which the contributions of risk from all assets are equally weighted. Portfolios constructed using risk parity approach are a compromise between two well-known diversification techniques: minimum variance optimization approach and the equal weighting approach. In this paper, we discuss the problem of finding portfolios … Read more