Stock Portfolio Optimization Using a Combined Approach of Relative Robust Risk Parity
Risk parity is perceived as one of the stock portfolio selection models that have received a lot of attention since the US financial crisis in 2008. The philosophy of this model is to allocate the same amount of portfolio risk between the constituent assets. In the present study, the combined portfo...
Main Authors: | Sayed Mohammad Ebrahim Mirmohammadi, Mehdi Madanchi zaj, Hossein Panahian, Hossein Jabbary |
---|---|
Format: | Article |
Language: | English |
Published: |
Iran Finance Association
2021-11-01
|
Series: | Iranian Journal of Finance |
Subjects: | |
Online Access: | https://www.ijfifsa.ir/article_139651_6ac704e1b5d4fc0502a9be6e9cc195d5.pdf |
Similar Items
-
Portfolio optimization with robust possibilistic programming
by: Maghsoud Amiri, et al.
Published: (2019-04-01) -
Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model
by: Javed Bin Kamal
Published: (2012-09-01) -
Enhancing portfolio resilience during crisis periods: Lessons from BRICS indices and multi asset strategies
by: Nupur Gupta, et al.
Published: (2023-10-01) -
The Way to Invest: Trading Strategies Based on ARIMA and Investor Personality
by: Xiaoyu Tang, et al.
Published: (2022-11-01) -
Hierarchical Risk Parity as an Alternative to Conventional Methods of Portfolio Optimization: (A Study of Tehran Stock Exchange)
by: Marziyeh Nourahmadi, et al.
Published: (2021-11-01)