Risk budgeting portfolios from simulations
B. Freitas Paulo da Costa, Silvana M. Pesenti, Rodrigo S. Targino
| Year of publication: |
2023
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|---|---|
| Authors: | Costa, Bernardo Freitas Paulo da ; Pesenti, Silvana M. ; Targino, Rodrigo S. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 311.2023, 3 (16.12.), p. 1040-1056
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| Subject: | Coherent risk measures | Portfolio optimisation | Risk parity | Stochastic optimisation | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Simulation | Risiko | Risk | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Stochastischer Prozess | Stochastic process | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.06.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014440198