Work

Risk Budget Portfolios With Convex Non-negative Matrix Factorization

Year: 2023

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.4474100

Authors: Bruno Spilak, Wolfgang Karl Härdle

Institutions: Humboldt-Universität zu Berlin, National Yang Ming Chiao Tung University, Charles University, Bucharest University of Economic Studies

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4381113272

Cites: 53

Cited by: 1

Related to: 10