Robust Portfolio Allocation with Systematic Risk Contribution Restrictions11The authors gratefully acknowledge financial support of the chair QuantValley/Risk Foundation “Quantitative Management Initiative”. The second author gratefully acknowledges financial support of NSERC Canada.-Reference-Cited by-同舟云学术

Robust Portfolio Allocation with Systematic Risk Contribution Restrictions11The authors gratefully acknowledge financial support of the chair QuantValley/Risk Foundation “Quantitative Management Initiative”. The second author gratefully acknowledges financial support of NSERC Canada.

Published:2015 Issue: Volume: Page:123-146
ISSN:
Container-title:Risk-Based and Factor Investing
language:
Short-container-title:

Author:

Darolles Serge,Gouriéroux Christian,Jay Emmanuelle

Publisher

Elsevier

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3. Optimizing risk budgets in portfolio selection problem: A bi-level model and an efficient gradient-based algorithm;IISE Transactions;2023-08-14

4. The Budgeting of Portuguese Public Museums: A Dynamic Panel Data Approach;SSRN Electronic Journal;2012