Mean-variance portfolio optimization models are sensitive to uncertainty in risk-return
estimates, which may result in poor out-of-sample performance. In particular, the estimates …

In this article, the authors present a conceptual framework named adaptive seriational risk
parity (ASRP) to extend hierarchical risk parity (HRP) as an asset allocation heuristic. The …

One of the most critical investment issues faced by different investors is choosing an optimal
investment portfolio and balancing risk and return in a way that, maximizes investment …

Forming an investment portfolio is one of the main concerns of managers and investors who
strive in order to create the best investment portfolio to get the best return from the market …

Drawing on a recent contribution to the literature on risk budgeting (RB), the author
investigates an RB approach based on the filtered similarity matrix generated by hierarchical …

In this article, the authors present a conceptual framework named'Adaptive Seriational Risk
Parity'(ASRP) to extend Hierarchical Risk Parity (HRP) as an asset allocation heuristic. The …

This paper presents a portfolio construction approach that combines the hierarchical
clustering of a large asset universe with the stock price momentum. On the one hand …

In the context of risk-based portfolio construction and pro-active risk management, finding
robust predictors of future realised volatility is paramount to achieving optimal performance …

We introduce a new approach to denoising correlation matrices that imposes a block
structure with a fixed block-dependent pair-wise correlation within each block and a constant …

In the context of risk-based portfolio construction and pro-active risk management, finding
robust predictors of future realised volatility is paramount to achieving optimal performance …