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 |
|---|---|---|---|
| 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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