Vali Asimit (Bayes Business School) 

give a presentation on : 

Risk Budgeting under General Risk Measures. 

Abstract : 

We provide an ample characterization for Risk Budgeting/Parity portfolios with general convex and homogeneous risk preferences for long-only portfolios, as well as for long-short portfolios. We propose a more general novel definition of Risk Budgeting/ Parity portfolios that is less restrictive than the classical definition, and it guarantees their existence and uniqueness, at least for the long-only case. This case is shown to always be less risky than the Equal Weighted portfolio and a thorough mathematical characterization of Risk Budgeting/Parity portfolios is also provided. Equivalent properties are concluded for long-short risk budgeting portfolios under some additional conditions. We provide new insights about the Risk Budgeting/Parity portfolios, including that those portfolios are a rich subset of the newly coined set of Generalized Weighted Mean Constrained portfolios that, according to our knowledge, is defined for the first time in this paper. This new class of portfolios contains other portfolios with good performance, e.g., norm constrained and shortsale-constrained portfolios.