Robust risk budgeting

DOI10.1007/S10479-017-2469-4zbMath1417.91456OpenAlexW2604108198MaRDI QIDQ1621907

Nicos Christofides, Michalis Kapsos, Berc Rustem

Publication date: 12 November 2018

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

Full work available at URL: https://doi.org/10.1007/s10479-017-2469-4

zbMATH Keywords

robustcontributionriskparitybudgeting

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (4)

Robust portfolio optimization: a categorized bibliographic review ⋮ Corporate hedging: an answer to the ``how question ⋮ Recent advancements in robust optimization for investment management ⋮ Risk parity portfolio optimization under a Markov regime-switching framework

Cites Work

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• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• On consistency of stochastic dominance and mean-semideviation models

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