Risk Budgeting portfolios : existence and computation

Adil Rengim Cetingoz, Jean-David Fermanian, Olivier Guéant

Year of publication:	2024
Authors:	Cetingoz, Adil Rengim ; Fermanian, Jean-David ; Guéant, Olivier
Subject:	risk measures \| expected shortfall \| portfolio optimization \| Risk Budgeting \| stochastic algorithm \| stochastic gradient descent \| volatility \| Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming \| Risiko \| Risk \| Risikomanagement \| Risk management \| Algorithmus \| Algorithm

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