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An Evolutionary Optimization Approach to Risk Parity Portfolio Selection

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Applications of Evolutionary Computation (EvoApplications 2015)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 9028))

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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.

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Author information

Authors and Affiliations

  1. Department of Finance, Accounting and Statistics, WU Vienna University of Economics and Business, Vienna, Austria

    Ronald Hochreiter

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  1. Ronald Hochreiter
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Correspondence to Ronald Hochreiter .

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Editors and Affiliations

  1. Universidad de Granada, Granada, Spain

    Antonio M. Mora

  2. Politecnico di Torino, Turin, Italy

    Giovanni Squillero

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Hochreiter, R. (2015). An Evolutionary Optimization Approach to Risk Parity Portfolio Selection. In: Mora, A., Squillero, G. (eds) Applications of Evolutionary Computation. EvoApplications 2015. Lecture Notes in Computer Science(), vol 9028. Springer, Cham. https://doi.org/10.1007/978-3-319-16549-3_23

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  • DOI: https://doi.org/10.1007/978-3-319-16549-3_23

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-16548-6

  • Online ISBN: 978-3-319-16549-3

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