"Generalized risk parity portfolio optimization: an ADMM approach."

Giorgio Costa, Roy H. Kwon (2020)

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DOI: 10.1007/S10898-020-00915-X

access: closed

type: Journal Article

metadata version: 2021-07-13

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Giorgio Costa, Roy H. Kwon:
Generalized risk parity portfolio optimization: an ADMM approach. J. Glob. Optim. 78(1): 207-238 (2020)

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