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Risk budgeting portfolios: existence and computation - MaRDI portal

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Risk budgeting portfolios: existence and computation (Q6641077)

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scientific article; zbMATH DE number 7947053
Language Label Description Also known as
English
Risk budgeting portfolios: existence and computation
scientific article; zbMATH DE number 7947053

    Statements

    title
    Risk budgeting portfolios: existence and computation (English)
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    author
    Adil Rengim Cetingoz
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    Jean-David Fermanian
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    Olivier Guéant
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    publication date
    20 November 2024
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    zbMATH Keywords
    expected shortfall
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    portfolio optimization
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    risk budgeting
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    risk measures
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    stochastic algorithm
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    stochastic gradient descent
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    volatility
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    Identifiers

    zbMATH DE Number
    7947053
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    DOI
    10.1111/MAFI.12419
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