SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design.

Yiyong Feng Daniel Pérez Palomar

Published in: IEEE Trans. Signal Process. (2015)

Keyphrases

optimization methods
portfolio optimization
decision making
efficient optimization
simulated annealing
optimization problems
optimization method
optimization approaches
evolutionary algorithm
portfolio management
objective function
design process
particle swarm
portfolio selection
stochastic methods