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"Risk-budgeting multi-portfolio optimization with portfolio and marginal ..."

Ran Ji, Miguel A. Lejeune (2018)

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DOI: 10.1007/S10479-015-2044-9

access: closed

type: Journal Article

metadata version: 2020-08-13

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Ran Ji, Miguel A. Lejeune:
Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints. Ann. Oper. Res. 262(2): 547-578 (2018)

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