Universal Risk Budgeting
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References listed on IDEAS
- Alex Garivaltis, 2018. "Exact Replication of the Best Rebalancing Rule in Hindsight," Papers 1810.02485, arXiv.org, revised Mar 2019.
- Roncalli, Thierry, 2013.
"Introduction to Risk Parity and Budgeting,"
MPRA Paper
47679, University Library of Munich, Germany.
- Thierry Roncalli, 2014. "Introduction to Risk Parity and Budgeting," Papers 1403.1889, arXiv.org.
- Farshid Jamshidian, 1992. "Asymptotically Optimal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 131-150, April.
- Bruder, Benjamin & Roncalli, Thierry, 2012. "Managing risk exposures using the risk budgeting approach," MPRA Paper 37246, University Library of Munich, Germany.
- Anderson, Robert M. & Bianchi, Stephen W. & Goldberg, Lisa R., 2012. "Will My Risk Parity Strategy Outperform?," Department of Economics, Working Paper Series qt23t2s950, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2021-06-28 (Risk Management)
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