Advanced search
Publication Cover
Quantitative Finance Volume 19, 2019 - Issue 3
Submit an article Journal homepage
1,403
Views
21
CrossRef citations to date
0
Altmetric
Research Papers

Risk parity portfolio optimization under a Markov regime-switching framework

Giorgio CostaDepartment of Mechanical and Industrial Engineering, University of Toronto, 5 King's College Road, Toronto, ON, CanadaM5S 3G8ORCID Iconhttp://orcid.org/0000-0002-2119-5295View further author information
ORCID Icon &
Roy H. KwonDepartment of Mechanical and Industrial Engineering, University of Toronto, 5 King's College Road, Toronto, ON, CanadaM5S 3G8Correspondence[email protected]
ORCID Iconhttp://orcid.org/0000-0002-0502-1607View further author information
ORCID Icon
Pages 453-471 | Received 16 Feb 2017, Accepted 01 Jun 2018, Published online: 01 Aug 2018

Citations (21)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (3)

Tri M. Hoang. (2022) Active portfolio management for the emerging and frontier markets: the use of multivariate time series forecasts. Cogent Economics & Finance 10:1.
Read now
Reza Bradrania & Davood Pirayesh Neghab. (2022) State-dependent asset allocation using neural networks. The European Journal of Finance 28:11, pages 1130-1156.
Read now
Hyuksoo Kim & Saejoon Kim. (2021) Reduction of estimation error impact in the risk parity strategies. Quantitative Finance 21:8, pages 1351-1364.
Read now

Articles from other publishers (18)

Sini Guo, Jia-Wen Gu, Christopher H. Fok & Wai-Ki Ching. (2023) Online portfolio selection with state-dependent price estimators and transaction costs. European Journal of Operational Research 311:1, pages 333-353.
Crossref
Tae Kyun Lee & So Young Sohn. (2023) Alpha-factor integrated risk parity portfolio strategy in global equity fund of funds. International Review of Financial Analysis 88, pages 102654.
Crossref
Chi Seng Pun, Tianyu Wang & Zhenzhen Yan. (2023) Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set. Manufacturing & Service Operations Management.
Crossref
Dexiang Wu. (2023) Stability improvement for index tracking during a healthcare crisis using a dual decomposition approach. Computers & Industrial Engineering 175, pages 108820.
Crossref
Ting-Fu Chen, Shih-Kuei Lin, An-Sing Chang & Wei-Hao Wang. (2022) The Pricing Model of Pension Benefit Guaranty Corporation Insurance with Regime-Switching Processes. Journal of Risk and Financial Management 15:6, pages 258.
Crossref
Xiaoyue Li, A. Sinem Uysal & John M. Mulvey. (2022) Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks. European Journal of Operational Research 299:3, pages 1158-1176.
Crossref
Dmitry А. Endovitsky & Viacheslav V. Korotkikh. (2022) Regime shifts in equity risk premium: international evidence. Vestnik Voronezhskogo gosudarstvennogo universiteta. Ser.: Ekonomika i upravlenie = Proceedings of Voronezh State University. Series: Economics and Management:1.
Crossref
Önder BÜBERKÖKÜ. (2021) BORSA YATIRIM FONLARINA DAYALI STATİK VE DİNAMİK PORTFÖY OPTİMİZASYON ANALİZLERİSTATIC AND DYNAMIC PORTFOLIO ALLOCATİON ANALYSIS BASED ON EXCHANGE-TRADED FUNDS. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 39:4, pages 561-579.
Crossref
Önder BÜBERKÖKÜ. (2021) BLACK-LITTERMAN YÖNTEMİNE DAYALI PORTFÖY OPTİMİZASYON ANALİZLERİPORTFOLIO OPTIMIZATION ANALYSIS BASED ON THE BLACK-LITTERMAN ASSET ALLOCATION MODEL. Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 12:24, pages 621-647.
Crossref
Dmitry A. Endovitsky, Viacheslav V. Korotkikh & Denis A. Khripushin. (2021) Equity Risk and Return across Hidden Market Regimes. Risks 9:11, pages 188.
Crossref
Razvan Oprisor & Roy Kwon. (2020) Multi-Period Portfolio Optimization with Investor Views under Regime Switching. Journal of Risk and Financial Management 14:1, pages 3.
Crossref
Vaughn Gambeta & Roy Kwon. (2020) Risk Return Trade-Off in Relaxed Risk Parity Portfolio Optimization. Journal of Risk and Financial Management 13:10, pages 237.
Crossref
Giorgio Costa & Roy Kwon. (2020) A robust framework for risk parity portfolios. Journal of Asset Management 21:5, pages 447-466.
Crossref
Gilles Boevi Koumou. (2020) Diversification and portfolio theory: a review. Financial Markets and Portfolio Management 34:3, pages 267-312.
Crossref
Giorgio Costa & Roy H. Kwon. (2020) Generalized risk parity portfolio optimization: an ADMM approach. Journal of Global Optimization 78:1, pages 207-238.
Crossref
Ayse Sinem Uysal, Xiaoyue Li & John M. Mulvey. (2021) Multi-period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks. SSRN Electronic Journal.
Crossref
Giorgio Costa & Roy Kwon. (2020) Generalized Risk Parity Portfolio Optimization: An ADMM Approach. SSRN Electronic Journal.
Crossref
Anish Shah. (2019) Uncertain Risk Parity. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.