In this paper we discuss a detailed methodology for dealing with Risk parity in a parametric context. In particular, we use the Independent Component Analysis for a linear decomposition of portfolio risk factors. Each Independent Component is modeled with the Mixed Tempered Stable distribution. Risk parity optimal portfolio weights are calculated for three risk measures: Volatility, modified Value At Risk and modified Expected Shortfall. Empirical analysis is discussed in terms of out-of-sample performance and portfolio diversification
Mercuri, L., & Rroji, E. (2018). Risk parity for Mixed Tempered Stable distributed sources of risk. ANNALS OF OPERATIONS RESEARCH, 260(1-2), 375-393 [10.1007/s10479-016-2394-y].
Citazione: | Mercuri, L., & Rroji, E. (2018). Risk parity for Mixed Tempered Stable distributed sources of risk. ANNALS OF OPERATIONS RESEARCH, 260(1-2), 375-393 [10.1007/s10479-016-2394-y]. | |
Tipo: | Articolo in rivista - Articolo scientifico | |
Carattere della pubblicazione: | Scientifica | |
Presenza di un coautore afferente ad Istituzioni straniere: | No | |
Titolo: | Risk parity for Mixed Tempered Stable distributed sources of risk | |
Autori: | Mercuri, L; Rroji, E | |
Autori: | RROJI, EDIT (Corresponding) | |
Data di pubblicazione: | 2018 | |
Lingua: | English | |
Rivista: | ANNALS OF OPERATIONS RESEARCH | |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1007/s10479-016-2394-y | |
Appare nelle tipologie: | 01 - Articolo su rivista |