Data-driven distributionally robust risk parity portfolio optimization (Q5058398): Difference between revisions

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Latest revision as of 03:49, 31 July 2024

scientific article; zbMATH DE number 7634903
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English
Data-driven distributionally robust risk parity portfolio optimization
scientific article; zbMATH DE number 7634903

    Statements

    Data-driven distributionally robust risk parity portfolio optimization (English)
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    20 December 2022
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    portfolio selection
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    risk parity
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    distributionally robust optimization
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    statistical ambiguity
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    saddle-point problem
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    gradient descent
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