Equal risk bounding is better than risk parity for portfolio selection (Q1675564): Difference between revisions
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| Property / cites work: Least-squares approach to risk parity in portfolio selection / rank | |||
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Latest revision as of 15:34, 14 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Equal risk bounding is better than risk parity for portfolio selection |
scientific article |
Statements
Equal risk bounding is better than risk parity for portfolio selection (English)
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2 November 2017
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portfolio optimization
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risk diversification
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risk parity
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non-convex quadratically constrained optimization
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nonlinear 0-1 optimization
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