Extending risk budgeting for market regimes and quantile factor models
Year of publication: |
2018
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Authors: | Flint, Emlyn ; Di Plooy, Simon |
Published in: |
The journal of investment strategies. - London : Infopro Digital, ISSN 2047-1238, ZDB-ID 2889641-5. - Vol. 7.2018, 4, p. 51-74
|
Subject: | risk budgeting | risk-based optimization | market regime | quantile factor model | multi-objective optimization | Risiko | Risk | Mathematische Optimierung | Mathematical programming | USA | United States | Risikomanagement | Risk management | Theorie | Theory | Risikomaß | Risk measure |
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