A return-diversification approach to portfolio selection
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Cites work
- An optimization-diversification approach to portfolio selection
- Approximating exact expected utility via portfolio efficient frontiers
- Asymmetric Least Squares Estimation and Testing
- Coherent measures of risk
- Diversified minimum-variance portfolios
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- Dynamic Equicorrelation
- Equal risk bounding is better than risk parity for portfolio selection
- Exposition of a New Theory on the Measurement of Risk
- Generalized deviations in risk analysis
- Generalized quantiles as risk measures
- Introduction to risk parity and budgeting
- Least-squares approach to risk parity in portfolio selection
- Linear vs. quadratic portfolio selection models with hard real-world constraints
- MAD risk parity portfolios
- Managing ESG ratings disagreement in sustainable portfolio selection
- Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
- Norm constrained minimum variance portfolios with short selling
- On exact and approximate stochastic dominance strategies for portfolio selection
- Optimal Portfolio Diversification Using the Maximum Entropy Principle
- Parameter-free convex equivalent and dual programs of fractional programming problems
- Rao's quadratic entropy and maximum diversification indexation
- Risk parity with expectiles
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