paper
MAD Risk Parity Portfolios
Çağın Ararat, Francesco Cesarone, Mustafa Çelebi Pınar, Jacopo Maria Ricci
MAD Risk Parity Portfolios
Çağın Ararat, Francesco Cesarone, Mustafa Çelebi Pınar, Jacopo Maria Ricci
paper2021-10-23English
deep learning portfolioarxiv
Description
In this paper, we investigate the features and the performance of the Risk Parity (RP) portfolios using the Mean Absolute Deviation (MAD) as a risk measure. The RP model is a recent strategy for asset allocation that aims at equally sharing the global portfolio risk among all the assets of an investment universe. We discuss here some existing and new results about the properties of MAD that are useful for the RP approach. We propose several formulations for finding MAD-RP portfolios computationa...
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