Least-squares approach to risk parity in portfolio selection
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Publication:5001135
DOI10.1080/14697688.2015.1031815zbMath1468.91130OpenAlexW3123484795MaRDI QIDQ5001135
Xi Bai, Katya Scheinberg, Reha H. Tütüncü
Publication date: 16 July 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2015.1031815
alternating direction methodportfolio selectionasset allocationalternating linearization methodrisk parity
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