Kurtosis-based risk parity: methodology and portfolio effects-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Kurtosis-based risk parity: methodology and portfolio effects

Published:2023-01-24 Issue:3 Volume:23 Page:453-469
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Braga M. D.¹²^ORCID,Nava C. R.³^ORCID,Zoia M. G.⁴^ORCID

Affiliation:

1. SDA Bocconi School of Management, Bocconi University, Milan, Italy

2. Department of Economics and Political Sciences, University of Aosta Valley, Aosta, Italy

3. Department of Economics and Statistics “Cognetti de Martiis”, University of Turin, Turin, Italy

4. Department of Economic Policy, Università Cattolica del Sacro Cuore, Milan, Italy

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2145988

Reference58 articles.

1. A polynomial goal programming model for portfolio optimization based on entropy and higher moments

2. Will My Risk Parity Strategy Outperform?

3. Leverage Aversion and Risk Parity

4. Least-squares approach to risk parity in portfolio selection

5. On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Quantitative Wealth and Investment Management (QWIM): Advanced Portfolio Diversification;SSRN Electronic Journal;2024

2. Risk budgeting using a generalized diversity index;Journal of Asset Management;2023-09-20

3. Kurtosis-based vs volatility-based asset allocation strategies: Do they share the same properties? A first empirical investigation;Finance Research Letters;2023-06

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3