Reduction of estimation error impact in the risk parity strategiesv
Year of publication: |
2021
|
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Authors: | Kim, Hyuksoo ; Kim, Saejoon |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 8, p. 1351-1364
|
Subject: | Equal risk contribution | Estimation error | Estimation error sensitivity | Resampling method | Risk parity | Risikomanagement | Risk management | Schätztheorie | Estimation theory | Statistischer Fehler | Statistical error | Risiko | Risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure |
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