Diversification is one of the major components of investment decision-making under risk or
uncertainty. However, paradoxically, as the 2007–2009 financial crisis revealed, the concept …

Although portfolio management didn't change much during the 40 years after the seminal
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …

Since its introduction in 2017 (Vaswani et al., 2017), the Transformer model has excelled in
a wide range of tasks involving natural language processing and computer vision. We …

The risk parity portfolio selection problem aims to find such portfolios for which the
contributions of risk from all assets are equally weighted. Portfolios constructed using the …

A recent popular approach to portfolio selection aims at diversifying risk by looking for the so
called Risk Parity portfolios. These are defined by the condition that the risk contributions of …

The traditional Markowitz portfolio optimization proposed in the 1950s has not been
embraced by practitioners despite its theoretical elegance. Recently, an alternative risk …

Risk budgeting is a portfolio strategy where each asset contributes a prespecified amount to
the aggregate risk of the portfolio. In this work, we propose an efficient numerical framework …

In this paper we propose a cyclical coordinate descent (CCD) algorithm for solving high
dimensional risk parity problems. We show that this algorithm converges and is very fast …

This paper examines optimization models that use liquidity constraints to track an index.
Liquidity is relevant from a risk management perspective but has hardly been explored in the …

We develop a network representation-based methodology to aid an exploratory analysis of
temporally evolving comovement in asset prices. This parsimonious order-n representation …