An integrated risk-budgeting approach for multi-strategy equity portfolios

Carvalho, Raul Leote de; Lu, Xiao; Moulin, Pierre

doi:10.1057/jam.2014.11

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“…Risk parity has been usually considered in asset-class strategies, while its application to equities is limited due to the large size of the investable sets and to the corresponding elaborate risk models (see, for instance, de Carvalho et al, 2012;de Carvalho et al, 2014 andSiu, 2014 ).…”

Section: Introductionmentioning

confidence: 99%

Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization

Kaucic

2019

Computers & Operations Research

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Section: Introductionmentioning

confidence: 99%

Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization

Kaucic

2019

Computers & Operations Research

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Diversify and Purify Factor Premiums in Equity Markets * *The views and opinions expressed herein are those of the authors and do not necessarily reflect the views of BNP Paribas Investment Partners, its affiliates or employees.

Carvalho

Soupé

et al. 2017

Factor Investing

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Risk Management Planning, Sustainability Risks Management, and Risk Stakeholders

2017

Risk Management Strategies in Public-Private Partnerships

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Concepts in risk management in PPP projects have continuously evolved over the years. Introduction of new concepts, risk management planning, sustainability risk management and risk stakeholders, create a greater understanding of the acceptable workings of PPP projects. This chapter aims to investigate and compare these concepts in academic literatures and to the practices of PPP project implementations as exemplified in numerous PPP projects. This chapter reviews and analyzes information on these concepts. Extant literatures are reviewed and their take on the concepts are compared with the results obtained from the case studies. The chapter found both similarities and differences and also suggests some interesting researches on several key areas that should be emphasized for a better take in having an effective risk management strategy.

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An integrated risk-budgeting approach for multi-strategy equity portfolios

Cited by 3 publications

References 32 publications

Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization

Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization

Diversify and Purify Factor Premiums in Equity Markets * *The views and opinions expressed herein are those of the authors and do not necessarily reflect the views of BNP Paribas Investment Partners, its affiliates or employees.

Risk Management Planning, Sustainability Risks Management, and Risk Stakeholders

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