PORTFOLIO RHO-PRESENTATIVITY

DOI10.1142/S0219024919500341zbMATH Open1430.91085OpenAlexW3121157202WikidataQ127345146 ScholiaQ127345146MaRDI QIDQ5207490FDOQ5207490

Authors: Tristan Froidure, Khalid Jalalzai, Yves Choueifaty 

Publication date: 2 January 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024919500341

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zbMATH Keywords

constraintsdiversificationportfolio constructioncorrelation optimizationlong-only eigenvaluesmaximally rho-presentative portfoliosoptimized portfolio stabilityrepresentative portfolios

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• Coherent measures of risk
• Convex Analysis
• Inequalities: theory of majorization and its applications
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• An upper bound on the volume of the symmetric difference of a body and a congruent copy
• On the symmetric difference metric for convex bodies
• Introduction to risk parity and budgeting

Cited In (1)

• Elliptic entropy of uncertain random variables with application to portfolio selection

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