论文标题
投资组合分配的回报预测几乎确切的风险预算
Almost Exact Risk Budgeting with Return Forecasts for Portfolio Allocation
论文作者
论文摘要
在本文中，我们通过指定的风险预算来重新审视投资组合分配问题[Qian，2005]。我们概括了与包括回报预测和交易成本的任意风险预算与不平等相关性的问题，同时保持不缩写（长期以来）的约束。我们提供凸二阶锥形公式，该公式与资产数量相比良好，并在不同设置中探索问题的解决方案。特别是，在一些实际情况下解决了问题 - 关于公平和债券资产分配问题，以及为NASDAQ100指数制定指数成分，说明了这种方法的好处。
In this paper, we revisit the portfolio allocation problem with designated risk-budget [Qian, 2005]. We generalize the problem of arbitrary risk budgets with unequal correlations to one that includes return forecasts and transaction costs while keeping the no-shorting (long-only positions) constraint. We offer a convex second order cone formulation that scales well with the number of assets and explore solutions to the problem in different settings. In particular, the problem is solved on a few practical cases - on equity and bond asset allocation problems as well as formulating index constituents for the NASDAQ100 index, illustrating the benefits of this approach.
