Long-only equal risk contribution portfolios for CVaR under discrete distributions
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Publication:4619533
DOI10.1080/14697688.2018.1434317zbMath1406.91420OpenAlexW2800630576MaRDI QIDQ4619533
Oleksandr Romanko, Helmut E. Mausser
Publication date: 6 February 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2018.1434317
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Risk budgeting portfolios from simulations, Kurtosis-based risk parity: methodology and portfolio effects, Almost exact risk budgeting with return forecasts for portfolio allocation, Risk parity with expectiles
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