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Search: subject:"Cyclical coordinate descent"
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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1
Improved iterative methods for solving risk parity portfolio
Choi, Jaehyuk
;
Chen, Rong
- In:
Journal of derivatives and quantitative studies : …
30
(
2022
)
2
,
pp. 114-124
study improves two existing iterative methods: the
cyclical
coordinate
descent
(CCD) and Newton methods. The authors enhance …
Persistent link: https://www.econbiz.de/10013202393
Saved in:
2
Efficient computation of mean reverting portfolios using
cyclical
coordinate
descent
Griveau-Billion, T.
;
Calderhead, Ben
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 673-684
Persistent link: https://www.econbiz.de/10012483845
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3
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios
Griveau-Billion, Théophile
;
Richard, Jean-Charles
; …
-
Volkswirtschaftliche Fakultät, …
-
2013
In this paper we propose a
cyclical
coordinate
descent
(CCD) algorithm for solving high dimensional risk parity …
Persistent link: https://www.econbiz.de/10011111212
Saved in:
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