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General sparse risk parity portfolio design via successive convex optimizaion

机译：通过连续凸优化设计稀疏风险平价投资组合

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摘要

Since the 2008 financial crisis.risk management has become more important and portfolio approaches.such as the minimum-variance and equally weighted portfolios.have gained popularity.However.such portfolios still do not diversify the risk in the true sense.Recently.risk parity portfolios has been receiving significant interest from both the theoretical and practical perspectives due to its advantages in the diversification of (ex-ante) risk contributions among assets.However.this portfolio type usually results in nonzero weights in all the assets.which implies high transaction cost in practice.In addition.focusing only on the risk aspect can make this type of portfolio unsatisfactory if other performance factors.e.g..annual yield.are considered.In this paper.we jointly consider asset selection and risk diversification via imposing sparsity and risk parity regularization in the portfolio problem formulation.which turns out to be a general and flexible portfolio framework.Then we propose an efficient sequential algorithm based on the successive convex optimization framework.The numerical results on historical data show that our portfolio approach.compared with benchmark portfolios.can achieve a good balance among asset selection.risk diversification and other evaluation criteria.and achieves the best performance on profit and loss (P&L) and/or drawdown.
机译：自2008年金融危机以来，风险管理变得越来越重要，最小风险和均等加权投资组合等投资组合方法也越来越受欢迎，但是这种投资组合并没有真正分散风险。由于投资组合在事前风险分担多样化方面的优势，无论是从理论上还是从实践上都引起了极大的兴趣，但是这种投资组合类型通常导致所有资产的权重都不为零，这意味着高交易量此外，如果考虑其他绩效因素（例如年收益率），则仅关注风险方面会使这种类型的投资组合不尽人意。本文通过施加稀疏性和风险共同考虑资产选择和风险分散资产组合问题公式中的奇偶正则化，结果证明这是一个通用且灵活的资产组合框架。历史数据的数值结果表明，我们的投资组合方法与基准投资组合相比，可以在资产选择，风险分散和其他评估标准之间达到良好的平衡，并达到最佳性能。损益（P＆L）和/或提取。

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