%0 Journal Article
%T A distributionally robust approach for the risk-parity portfolio selection problem
%J AUT Journal of Mathematics and Computing
%I Amirkabir University of Technology
%Z 2783-2449
%A Bayat, M.
%A Hooshmand, Farnaz
%A MirHassani, Seyyed Ali
%D 2023
%\ 10/31/2023
%V
%N
%P -
%! A distributionally robust approach for the risk-parity portfolio selection problem
%K Portfolio selection problem
%K Risk-parity
%K Scenario-based stochastic model
%K Distributionally robust
%K Ambiguity sets
%R 10.22060/ajmc.2023.22260.1145
%X Risk-parity is one of the most recent and interesting strategies in the portfolio selection area. Considering the mean-standard-deviation risk measure, this paper studies the risk-parity problem under the uncertainty of the covariance matrix. Assuming that the uncertainty is represented by a finite set of scenarios, the problem is formulated as a scenario-based stochastic programming model. Then, since the occurrence probabilities of scenarios are not known with certainty, two ambiguity sets of distributions are considered, and corresponding to each one, a distributionally robust optimization model is presented. Computational experiments on real-world instances taken from the literature confirm the importance of the proposed models in terms of stability, volatility and Sharpe-ratio.
%U