Long-only equal risk contribution portfolios for CVaR under discrete distributions (Q4619533): Difference between revisions
From MaRDI portal
Changed an Item |
Changed an Item |
||
| Property / describes a project that uses | |||
| Property / describes a project that uses: CPLEX / rank | |||
Normal rank | |||
Revision as of 20:10, 29 February 2024
scientific article; zbMATH DE number 7013652
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Long-only equal risk contribution portfolios for CVaR under discrete distributions |
scientific article; zbMATH DE number 7013652 |
Statements
Long-only equal risk contribution portfolios for CVaR under discrete distributions (English)
0 references
6 February 2019
0 references
risk parity
0 references
ERC portfolio
0 references
discrete distribution
0 references
second-order cone
0 references
