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Cardinality-constrained risk parity portfolios - MaRDI portal

Cardinality-constrained risk parity portfolios (Q2140363)

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scientific article
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English
Cardinality-constrained risk parity portfolios
scientific article

    Statements

    title
    Cardinality-constrained risk parity portfolios (English)
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    author
    Hassan T. Anis
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    Roy H. Kwon
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    publication date
    20 May 2022
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    zbMATH Keywords
    integer programming
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    conic optimization
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    portfolio optimization
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    risk parity
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    cardinality constraints
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    describes a project that uses
    JuMP
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    Julia
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    90C10
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    90C20
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    zbMATH DE Number
    7530112
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    OpenAlex ID
    W4205420919
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    Wikidata QID
    Q114184380
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