Francesco Cesarone, Fabio Tardella. Equal Risk Bounding is better than Risk Parity for portfolio selection. J. Global Optimization, 68(2):439-461, 2017. [doi]
@article{CesaroneT17,
title = {Equal Risk Bounding is better than Risk Parity for portfolio selection},
author = {Francesco Cesarone and Fabio Tardella},
year = {2017},
doi = {10.1007/s10898-016-0477-6},
url = {https://doi.org/10.1007/s10898-016-0477-6},
researchr = {https://researchr.org/publication/CesaroneT17},
cites = {0},
citedby = {0},
journal = {J. Global Optimization},
volume = {68},
number = {2},
pages = {439-461},
}