29 citations · 96 across the 15 of their papers we have counts for
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q-fin.PM2021★ 15 cited
MAD Risk Parity Portfolios
Çağın Ararat, Francesco Cesarone, Mustafa Çelebi Pınar +1
In this paper, we investigate the features and the performance of the Risk Parity (RP) portfolios using the Mean Absolute Deviation (MAD) as a risk measure. The RP model is a recen…
q-fin.PM2020
Portfolio optimization with two quasiconvex risk measures
Çağın Ararat
We study a static portfolio optimization problem with two risk measures: a principle risk measure in the objective function and a secondary risk measure whose value is controlled i…
q-fin.PM2019★ 4 cited
Portfolio optimization with two coherent risk measures
Tahsin Deniz Aktürk, Çağın Ararat
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for po…