A distributionally robust approach for the risk-parity portfolio selection problem
Risk-parity is one of the most recent and interesting strategies in the portfolio selection area. Considering the mean-standard-deviation risk measure, this paper studies the risk-parity problem under the uncertainty of the covariancematrix. Assuming that the uncertainty is represented by a finite s...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Amirkabir University of Technology
2025-01-01
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| Series: | AUT Journal of Mathematics and Computing |
| Subjects: | |
| Online Access: | https://ajmc.aut.ac.ir/article_5269_3a438b5e35df55db3734ee55d2e89be9.pdf |
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