Risk parity portfolio optimization under a Markov regime-switching framework
Giorgio Costa and Roy H. Kwon
| Year of publication: |
2019
|
|---|---|
| Authors: | Costa, Giorgio ; Kwon, Roy H. |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 3, p. 453-471
|
| Subject: | Asset allocation | Factor model | Markov regime switching | Risk parity | Robust optimization | Uncertainty | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Theorie | Theory | Risiko | Risk | Robustes Verfahren | Robust statistics | Risikomaß | Risk measure | Schätzung | Estimation | Risikomanagement | Risk management |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1486036 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194664