Risk parity portfolio optimization under a Markov regime-switching framework
Year of publication: |
2019
|
---|---|
Authors: | Costa, Giorgio ; Kwon, Roy H. |
Subject: | Asset allocation | Factor model | Markov regime switching | Risk parity | Robust optimization | Uncertainty | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Risiko | Risk | Theorie | Theory | Robustes Verfahren | Robust statistics |
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