PORTFOLIO RHO-PRESENTATIVITY

DOI10.1142/S0219024919500341zbMath1430.91085OpenAlexW3121157202WikidataQ127345146 ScholiaQ127345146MaRDI QIDQ5207490

Yves Choueifaty, Tristan Froidure, Khalid Jalalzai

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Elliptic entropy of uncertain random variables with application to portfolio selection

Cites Work

• On the symmetric difference metric for convex bodies
• Coherent Measures of Risk
• An upper bound on the volume of the symmetric difference of a body and a congruent copy
• Convex Analysis
• Inequalities: theory of majorization and its applications
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