Risk-Budgeted Mean-Variance Portfolios
A convex optimization method combines risk budgeting with expected returns, delivering higher average returns than risk parity with lower turnover and concentration than traditional mean-variance portfolios.
Featured in No. 138 on 6 Nov 2026 · 3 days after release
- Released
- 3 Nov 2026
- First featured
- No. 138 · 6 Nov 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7672259
- Authors
- Raul Riva et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).