Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints

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Publication:1615810

DOI10.1007/s10479-015-2044-9zbMath1416.91352OpenAlexW1912140386MaRDI QIDQ1615810

Ran Ji, Miguel A. Lejeune

Publication date: 31 October 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-015-2044-9



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