Data-driven distributionally robust risk parity portfolio optimization
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Publication:5058398
DOI10.1080/10556788.2021.2022143OpenAlexW3206590463WikidataQ111899509 ScholiaQ111899509MaRDI QIDQ5058398
Publication date: 20 December 2022
Published in: Optimization Methods and Software (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2110.06464
portfolio selectiongradient descentsaddle-point problemdistributionally robust optimizationrisk paritystatistical ambiguity
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