Portfolio selection with marginal risk control
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Publication:5411509
DOI10.21314/JCF.2010.213zbMath1284.91536MaRDI QIDQ5411509
Xiaoling Sun, Li, Duan, Shu-Shang Zhu
Publication date: 23 April 2014
Published in: The Journal of Computational Finance (Search for Journal in Brave)
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Related Items (9)
Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints ⋮ An optimal trade-off model for portfolio selection with sensitivity of parameters ⋮ A new global algorithm for factor-risk-constrained mean-variance portfolio selection ⋮ Sparse and risk diversification portfolio selection ⋮ Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm ⋮ A branch-and-cut algorithm using polar cuts for solving nonconvex quadratic programming problems ⋮ Optimal trade-off portfolio selection between total risk and maximum relative marginal risk† ⋮ Mean–variance portfolio optimization with parameter sensitivity control† ⋮ Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
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