Extending risk budgeting for market regimes and quantile factor models
Emlyn Flint and Simon du Plooy
| Year of publication: |
2018
|
|---|---|
| Authors: | Flint, Emlyn ; Di Plooy, Simon |
| Published in: |
The journal of investment strategies. - London : Infopro Digital, ISSN 2047-1238, ZDB-ID 2889641-5. - Vol. 7.2018, 4, p. 51-74
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| Subject: | risk budgeting | risk-based optimization | market regime | quantile factor model | multi-objective optimization | Portfolio-Management | Portfolio selection | Faktorenanalyse | Factor analysis | Risikomanagement | Risk management | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOIS.2018.103 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012001993