Long-only equal risk contribution portfolios for CVaR under discrete distributions (Q4619533)
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scientific article; zbMATH DE number 7013652
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Long-only equal risk contribution portfolios for CVaR under discrete distributions |
scientific article; zbMATH DE number 7013652 |
Statements
Long-only equal risk contribution portfolios for CVaR under discrete distributions (English)
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6 February 2019
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risk parity
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ERC portfolio
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discrete distribution
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second-order cone
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