PORTFOLIO RHO-PRESENTATIVITY

DOI10.1142/S0219024919500341MaRDI QIDQ5207490zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

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• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• An upper bound on the volume of the symmetric difference of a body and a congruent copy
• Coherent measures of risk
• Convex Analysis
• Inequalities: theory of majorization and its applications
• Introduction to risk parity and budgeting
• On the symmetric difference metric for convex bodies

Cited in

(1)

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

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