Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
Ran Ji, Miguel A. Lejeune
Year of publication: |
March 2018
|
---|---|
Authors: | Ji, Ran ; Lejeune, Miguel A. |
Published in: |
Risk management decisions and wealth management in financial economics. - New York, NY, USA : Springer. - 2018, p. 547-578
|
Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Risiko | Risk |
Saved in:
Online Resource
Saved in favorites
Similar items by subject
-
Triple-objective models for portfolio optimisation with symmetric and percentile risk measures
Sawik, Bartosz, (2016)
-
Uncertain portfolio optimization
Qin, Zhongfeng, (2016)
-
Uncertain Portfolio Optimization
Qin, Zhongfeng, (2016)
- More ...
Similar items by person