A parallel non-convex approximation framework for risk parity portfolio design

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Yidong Chen, Chen Li, Yonghong Hu, Zhonghua Lu

Published: 2023, Last Modified: 11 Nov 2025Parallel Comput. 2023EveryoneRevisionsBibTeXCC BY-SA 4.0
Abstract: Highlights•A structured non-convex optimization problem is formulated.•A parallel approximation framework to solve the non-convex problem is proposed.•The proposed method converges to higher quality solutions than state-of-art methods.•Risk parity portfolio that can consistently outperform the benchmark is constructed.