Stock Portfolio Optimization Using a Combined Approach of Relative Robust Risk Parity

Sayed Mohammad Ebrahim Mirmohammadi; Mehdi Madanchi zaj; Hossein Panahian; Hossein Jabbary

Volume 5, Issue 4 , November 2021, , Pages 87-106

  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 portfolio ...  Read More