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Large-Scale Mean-Variance Opti...
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Hierarchical risk budgeting
Koumou, Gilles Boevi
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The journal of financial data science
6
(
2024
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2
,
pp. 35-53
Persistent link: https://www.econbiz.de/10015195585
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Mean-variance model and investors' diversification attitude : a theoretical revisit
Koumou, Gilles Boevi
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Finance research letters
37
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2020
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pp. 1-7
Persistent link: https://www.econbiz.de/10012484898
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Diversification and portfolio theory: a review
Koumou, Gilles Boevi
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Financial markets and portfolio management
34
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2020
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3
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pp. 267-312
Persistent link: https://www.econbiz.de/10012289665
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Weight bound constraints in mean-variance models : a robust control theory foundation via machine learning
Koumou, Gilles Boevi
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Quantitative finance
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2024
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pp. 719-733
Persistent link: https://www.econbiz.de/10015050790
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Risk budgeting using a generalized diversity index
Koumou, Gilles Boevi
- In:
The journal of asset management : a major new, …
24
(
2023
)
6
,
pp. 443-458
Persistent link: https://www.econbiz.de/10014419523
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Rao's quadratic entropy and maximum diversification indexation
Carmichael, Benoît
;
Koumou, Gilles Boevi
;
Moran, Kevin
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 1017-1031
Persistent link: https://www.econbiz.de/10011911262
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