英文标题：
《Parametric Risk Parity》
---
作者：
Lorenzo Mercuri, Edit Rroji
---
最新提交年份：
2014
---
英文摘要：
Any optimization algorithm based on the risk parity approach requires the formulation of portfolio total risk in terms of marginal contributions. In this paper we use the independence of the underlying factors in the market to derive the centered moments required in the risk decomposition process when the modified versions of Value at Risk and Expected Shortfall are considered. The choice of the Mixed Tempered Stable distribution seems adequate for fitting skewed and heavy tailed distributions. The ensuing detailed description of the optimization procedure is due to the existence of analytical higher order moments. Better results are achieved in terms of out of sample performance and greater diversification.
---
中文摘要：
任何基于风险平价方法的优化算法都需要根据边际贡献计算投资组合的总风险。在本文中，我们使用市场中潜在因素的独立性来推导风险分解过程中所需的中心矩，其中考虑了风险价值和预期缺口的修改版本。选择混合回火稳定分布似乎足以拟合倾斜和重尾分布。随后对优化过程的详细描述是由于存在解析高阶矩。在样本外绩效和更大的多样化方面取得了更好的结果。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--
一级分类：Statistics 统计学
二级分类：Other Statistics 其他统计数字
分类描述：Work in statistics that does not fit into the other stat classifications
从事不适合其他统计分类的统计工作
--

---
PDF下载：
-->