Data-driven distributionally robust risk parity portfolio optimization (Q5058398)
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scientific article; zbMATH DE number 7634903
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Data-driven distributionally robust risk parity portfolio optimization |
scientific article; zbMATH DE number 7634903 |
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Data-driven distributionally robust risk parity portfolio optimization (English)
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20 December 2022
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portfolio selection
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risk parity
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distributionally robust optimization
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statistical ambiguity
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saddle-point problem
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gradient descent
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0.8957238
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0.8813092
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0.87335247
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0.8722551
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0.8684397
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0.86766624
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0.86572325
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0.8646128
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0.8618429
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