On the robustness of risk-based asset allocations
Year of publication: |
2012
|
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Authors: | Poddig, Thorsten ; Unger, Albina |
Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 26.2012, 3, p. 369-401
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Subject: | Asset allocation | Risk contributions | Minimum variance | Portfolio diversification | Principal component portfolios | Maximum entropy | Naive portfolios | Estimation error | Portfolio-Management | Portfolio selection | Entropie | Entropy | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Varianzanalyse | Analysis of variance |
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