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UID:pretalx-juliacon-2022-NPHSNW@pretalx.com
DTSTART:20220729T171000Z
DTEND:20220729T172000Z
DESCRIPTION:Risk budgeting is a portfolio strategy where each asset contrib
 utes a pre-specified amount to the total portfolio risk. We propose a nume
 rical framework in JuMP that uses only simulations of returns for estimati
 ng risk budgeting portfolios\, and provide a Sample Average Approximation 
 algorithm. We leveraged automatic differentiation and JuMP's modeling flex
 ibility to build a clear and concise code. We also report on memory issues
  encountered when solving for every day in a 14 year horizon.
DTSTAMP:20260314T021113Z
LOCATION:JuMP
SUMMARY:Risk Budgeting Portfolios from simulations - Bernardo Freitas Paulo
  da Costa
URL:https://pretalx.com/juliacon-2022/talk/NPHSNW/
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