An Evolutionary Optimization Approach to Risk Parity Portfolio Selection

Ronald Hochreiter ()

Papers from arXiv.org

Abstract: In this paper we present an evolutionary optimization approach to solve the risk parity portfolio selection problem. While there exist convex optimization approaches to solve this problem when long-only portfolios are considered, the optimization problem becomes non-trivial in the long-short case. To solve this problem, we propose a genetic algorithm as well as a local search heuristic. This algorithmic framework is able to compute solutions successfully. Numerical results using real-world data substantiate the practicability of the approach presented in this paper.

Date: 2014-11, Revised 2015-01
New Economics Papers: this item is included in nep-cmp, nep-evo and nep-rmg
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Citations: View citations in EconPapers (2)

Published in Lecture Notes in Computer Science Volume 9028: 279-288. 2015

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1411.7494

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