Generalized risk parity portfolio optimization: an ADMM approach.
Giorgio CostaRoy H. KwonPublished in: J. Glob. Optim. (2020)
Keyphrases
- portfolio optimization
- portfolio management
- risk management
- portfolio selection
- risk measures
- problems involving
- factor analysis
- investment decisions
- stock price
- stock exchange
- stock market
- robust optimization
- bi objective
- optimization methods
- sharpe ratio
- multiple objectives
- convex optimization
- multistage
- face recognition