An optimization–diversification approach to portfolio selection

Author:

Cesarone FrancescoORCID,Scozzari AndreaORCID,Tardella FabioORCID

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization,Computer Science Applications

Reference53 articles.

1. Anagnostopoulos, K., Mamanis, G.: The mean–variance cardinality constrained portfolio optimization problem: an experimental evaluation of five multiobjective evolutionary algorithms. Expert Syst. Appl. 38, 14208–14217 (2011)

2. Anderson, R.M., Bianchi, S.W., Goldberg, L.R.: Will my risk parity strategy outperform? Financ. Anal. J. 68(6), 75–93 (2012)

3. Asness, C.S., Frazzini, A., Pedersen, L.H.: Leverage aversion and risk parity. Financ. Anal. J. 68(1), 47–59 (2012)

4. Bacon, C.R.: Practical Portfolio Performance Measurement and Attribution, vol. 568. Wiley, Hoboken (2011)

5. Bai, X., Scheinberg, K., Tutuncu, R.: Least-squares approach to risk parity in portfolio selection. Quant Finance 16(3), 357–376 (2016)

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