Kurtosis-based risk parity: methodology and portfolio effects (Q6158412): Difference between revisions

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+Least-squares approach to risk parity in portfolio selection
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+Risk-based approaches to asset allocation. Concepts and practical applications
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+Matrix differential calculus with applications to simple, Hadamard, and Kronecker products
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+Long-only equal risk contribution portfolios for CVaR under discrete distributions
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+Some results on commutation matrices, with statistical applications
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+Q4884542
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+Risk parity portfolios with risk factors
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+Tailoring the Gaussian Law for Excess Kurtosis and Skewness by Hermite Polynomials
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