Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
type: Item
instance of: scholarly article
title: Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
zbMATH Open document ID: 1416.91352
author: Ran Ji
author: Miguel A. Lejeune
published in: Annals of Operations Research
publication date: 2018-10-31T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C11
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6969441
zbMATH Keywords: multi-portfolio optimization
zbMATH Keywords: marginal risk contribution
zbMATH Keywords: downside risk
zbMATH Keywords: stochastic programming
zbMATH Keywords: risk budgeting
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describes a project that uses: JBool
describes a project that uses: RiskMetrics
MaRDI profile type: Publication
full work available at URL: s10479-015-2044-9
OpenAlex ID: W1912140386
DOI: 10.1007/S10479-015-2044-9
description: scientific article; zbMATH DE number 6969441