Data-driven distributionally robust risk parity portfolio optimization

Costa, G; Kwon, RH

Kwon, RH (通讯作者)，Univ Toronto, Dept Mech & Ind Engn, 5 Kings Coll Rd, Toronto, ON M5S 3G8, Canada.

OPTIMIZATION METHODS & SOFTWARE, 2022; 37 (5): 1876

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