Generalized risk parity portfolio optimization: an ADMM approach (Q2200091)
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scientific article; zbMATH DE number 7247302
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Generalized risk parity portfolio optimization: an ADMM approach |
scientific article; zbMATH DE number 7247302 |
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Generalized risk parity portfolio optimization: an ADMM approach (English)
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15 September 2020
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non-convex optimization
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robust optimization
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ADMM
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risk parity
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asset allocation
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0.8266343474388123
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0.817612886428833
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0.7779179215431213
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0.7754493355751038
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0.7693669199943542
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