Risk-based asset allocation models have received considerable attention in recent years. This increased popularity is due in part to the difficulty in estimatin

Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniqu

In our proposed method, we derive a special constrained version of the group LASSO with the loss function suited for variable selection in DEA models and solve

Building on the solid foundation of the previous bestselling editions, this significantly extended fifth edition of Portfolio Construction and Risk Budgeting up

Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger exa