Long-only equal risk contribution portfolios for CVaR under discrete distributions (Q4619533): Difference between revisions

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+Least-squares approach to risk parity in portfolio selection
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+Introduction to Nonlinear Optimization
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+A heuristic for moment-matching scenario generation
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+CVaR proxies for minimizing scenario-based value-at-risk
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+Q2724706
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+Q2847378
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+On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
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