Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
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Publication:1615810
DOI10.1007/s10479-015-2044-9zbMath1416.91352OpenAlexW1912140386MaRDI QIDQ1615810
Publication date: 31 October 2018
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-015-2044-9
stochastic programmingdownside riskmulti-portfolio optimizationrisk budgetingmarginal risk contribution
Mixed integer programming (90C11) Stochastic programming (90C15) Optimal stochastic control (93E20) Portfolio theory (91G10)
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