Scenario-based stochastic model and efficient cross-entropy algorithm for the risk-budgeting problem
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Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10479-024-06227-7.pdf
Reference37 articles.
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4. Best, M. J., & Grauer, R. R. (1991). On the sensitivity of mean-variance-efficient portfolios to changes in asset means: Some analytical and computational results. The Review of Financial Studies, 4(2), 315–342.
5. Botev, Z. I., Kroese, D. P., Rubinstein, R. Y., & L’Ecuyer, P. (2013). The cross-entropy method for optimization. Handbook of Statistics, 31, 35–59.
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