Equal risk bounding is better than risk parity for portfolio selection
type: Item
instance of: scholarly article
title: Equal risk bounding is better than risk parity for portfolio selection
zbMATH Open document ID: 1411.91489
author: Francesco Cesarone
author: Fabio Tardella
published in: Journal of Global Optimization
publication date: 2017-11-02T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 90C26
zbMATH DE Number: 6802493
zbMATH Keywords: portfolio optimization
zbMATH Keywords: risk diversification
zbMATH Keywords: risk parity
zbMATH Keywords: non-convex quadratically constrained optimization
zbMATH Keywords: nonlinear 0-1 optimization
MaRDI profile type: Publication
full work available at URL: s10898-016-0477-6
OpenAlex ID: W3122345351
cites work: Least-squares approach to risk parity in portfolio selection
cites work: Pseudo-Boolean optimization
cites work: A new method for mean-variance portfolio optimization with cardinality constraints
cites work: Linear vs. quadratic portfolio selection models with hard real-world constraints
cites work: Introduction to risk parity and budgeting
cites work: Q3059733
cites work: A polyhedral branch-and-cut approach to global optimization
DOI: 10.1007/S10898-016-0477-6
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description: scientific article; zbMATH DE number 6802493