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SUMMARY:Risk Budgeting Portfolios from simulations - Bernardo Freitas Paul
 o da Costa
DTSTART:20220729T171000Z
DTEND:20220729T172000Z
DTSTAMP:20260813T024350Z
UID:pretalx-juliacon-2022-NPHSNW@pretalx.com
DESCRIPTION:Risk budgeting is a portfolio strategy where each asset contri
 butes a pre-specified amount to the total portfolio risk. We propose a num
 erical framework in JuMP that uses only simulations of returns for estimat
 ing risk budgeting portfolios\, and provide a Sample Average Approximation
  algorithm. We leveraged automatic differentiation and JuMP's modeling fle
 xibility to build a clear and concise code. We also report on memory issue
 s encountered when solving for every day in a 14 year horizon.
LOCATION:JuMP
URL:https://pretalx.com/juliacon-2022/talk/NPHSNW/
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