MAD risk parity portfolios

DOI10.1007/s10479-023-05797-2MaRDI QIDQ6549614

Çağın Ararat, Jacopo Maria Ricci, Francesco Cesarone, Mustafa Çelebi Pinar

Publication date: 4 June 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

portfolio optimizationmean absolute deviationrisk diversificationrisk parity

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

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