Portfolio optimisation with Equally-weighted risk contributions strategy

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Portfolio optimisation with Equally-weighted risk contributions strategy

Markowitz has lifted portfolio theory to scientific level by introducing mean-variance framework. Minimum Variance portfolio, unique portfolio on the mean-variance efficient portfolio, has attracted a lot of interest as it is independent of returns expectations. However, the approach has plenty of l...

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Bibliographic Details
Main Author:	Kladnik, Tina
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2009
Subjects:	Equally-weighted Risk Contributions Minimum Variance portfolio mean-variance efficient portfolio portfolio optimisation strategies
Online Access:	https://eprints.nottingham.ac.uk/23189/

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