Search results with tag "Multiple criteria risk contribution optimization"

R package mcrp Multiple criteria risk contribution ...

Multiple criteria risk contribution optimization Bernhard Pfa bernhard_pfaff@fra.invesco.com ... Risk parity portfolios: E cient portfolios through true ... diversi cation. White paper, PanAgora, Bostan, MA. Qian, E. (2006). On the nancial interpretation of risk contribution: Risk budgets

  Multiple, Risks, Paper, Criteria, Risk parity, Parity, White, Contributions, Optimization, White paper, Multiple criteria risk contribution optimization