Robust Portfolio Allocation with Systematic Risk Contribution Restrictions
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- repec:spt:stecon:v:7:y:2018:i:4:f:7_4_2 is not listed on IDEAS
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More about this item
KeywordsAsset Allocation; Portfolio Turnover; Risk Diversification; Minimum Variance Portfolio; Risk Parity Portfolio; Systematic Risk; Euler Allocation; Hedge Fund;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-04 (All new papers)
- NEP-BAN-2013-06-04 (Banking)
- NEP-RMG-2013-06-04 (Risk Management)
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