Optimal Risk Budgeting under a Finite Investment Horizon
The Growth-Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. This multi-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz’s mean-variance or risk parity. The GOP literature typically considers risk-...
| Κύριοι συγγραφείς: | , , |
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| Μορφή: | Άρθρο |
| Γλώσσα: | English |
| Έκδοση: |
MDPI AG
2019-08-01
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| Σειρά: | Risks |
| Θέματα: | |
| Διαθέσιμο Online: | https://www.mdpi.com/2227-9091/7/3/86 |