Generalized Risk Parity Portfolio Optimization : An ADMM Approach
Year of publication: |
2020
|
---|---|
Authors: | Costa, Giorgio |
Other Persons: | Kwon, Roy (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Risikomanagement | Risk management | Theorie | Theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Risikomaß | Risk measure |
Extent: | 1 Online-Ressource (35 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Global Optimization Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 01, 2020 erstellt |
Other identifiers: | 10.2139/ssrn.3609374 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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