Improved iterative methods for solving risk parity portfolio
Year of publication: |
2022
|
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Authors: | Choi, Jaehyuk ; Chen, Rong |
Published in: |
Journal of derivatives and quantitative studies. - Bingley, United Kingdom : Emerald Publishing Services, ISSN 2713-6647, ZDB-ID 3064233-4. - Vol. 30.2022, 2, p. 114-124
|
Subject: | Risk parity | Equal risk contribution | Cyclical coordinate descent | Newton method | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomanagement | Risk management | Risiko | Risk | Mathematische Optimierung | Mathematical programming |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1108/JDQS-12-2021-0031 [DOI] |
Classification: | G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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