Risk parity portfolio optimization under a Markov...

Quantitative Finance 2018 / 08

Risk parity portfolio optimization under a Markov regime-switching framework

Costa, Giorgio, Kwon, Roy H.
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Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2018.1486036
Date:
August, 2018
File:
PDF, 2.00 MB
english, 2018
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