Risk parity with expectiles
From MaRDI portal
Publication:2030685
DOI10.1016/j.ejor.2020.10.009zbMath1487.91024OpenAlexW2922354019MaRDI QIDQ2030685
Christian Colombo, Fabio Tardella, Francesco Cesarone, Fabio Bellini
Publication date: 7 June 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2020.10.009
Statistical methods; risk measures (91G70) Linear programming (90C05) Portfolio theory (91G10) Risk models (general) (91B05)
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