Risk Parity Portfolios for the Grouped Stocks

DOI10.1007/978-3-319-54885-2_8zbMath1426.91247OpenAlexW2611055741MaRDI QIDQ5240332

Agata Gluzicka

Publication date: 25 October 2019

Published in: Contemporary Trends and Challenges in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-54885-2_8

zbMATH Keywords

sequential quadratic programmingSharpe ratiorisk parityindividual stockweighted portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Least-squares approach to risk parity in portfolio selection

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