Risk discriminating portfolio optimization

Deshpande, A; Ertley, B; Lundin, M; Satchell, S

Lundin, M (reprint author), Charles Schwab Investment Management, 9800 Schwab Way, Lone Tree, CO 80124 USA.

QUANTITATIVE FINANCE, 2019; 19 (2): 177

Abstract

Risk discriminating portfolio optimization provides a risk-related path to performance optimization

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