"SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio ..."

Yiyong Feng, Daniel Pérez Palomar (2015)

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DOI: 10.1109/TSP.2015.2452219

access: closed

type: Journal Article

metadata version: 2020-03-10

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Yiyong Feng, Daniel Pérez Palomar:
SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design. IEEE Trans. Signal Process. 63(19): 5285-5300 (2015)

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