Risk parity portfolio optimization under a Markov regime-switching framework (Q5234305)
From MaRDI portal
scientific article; zbMATH DE number 7110428
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk parity portfolio optimization under a Markov regime-switching framework |
scientific article; zbMATH DE number 7110428 |
Statements
Risk parity portfolio optimization under a Markov regime-switching framework (English)
0 references
26 September 2019
0 references
risk parity
0 references
asset allocation
0 references
factor model
0 references
Markov regime switching
0 references
robust optimization
0 references
uncertainty
0 references
0 references
0 references
0 references
