Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints

摘要: Multi-portfolio optimization problems and the incorporation of marginal risk contribution constraints have recently received a sustained interest from academia financial practitioners. We propose class new stochastic budgeting multi-portfolio models that impose portfolio as well constraints. The permit simultaneous integrated multiple sub-portfolios in which each individual security is accounted for. A budget defined with downside measure allocated to security. consider two cases asset universes are either disjoint (diversification style) or overlap judgment). proposed take form programming include probabilistic constraint multi-row random technology matrix. expand combinatorial modeling framework represent feasible set chance first mixed-integer linear inequalities. reformulation this paper much sparser than previously presented reformulations allows efficient solution problem instances could not be solved otherwise. evaluate efficiency scalability method general enough applied chance-constrained problems. conduct cross-validation study via rolling-horizon procedure assess performance models, understand impact parameters diversification types on portfolios.