Florin Spinu

affiliation not provided to SSRN

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

An Algorithm for Computing Risk Parity Weights

Number of pages: 6 Posted: 24 Jul 2013 Last Revised: 06 Dec 2018
Florin Spinu
affiliation not provided to SSRN
Downloads 1,975 (7,373)
Citation 11

Abstract:

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risk parity, risk contribution, algorithm, Newton method, convex optimization

2.

Buy-and-Hold vs. Constantly Rebalanced Portfolios: A Theoretical Comparison

Journal of Asset Management, Volume 16, Issue 2 (March 2015)
Posted: 03 Dec 2014 Last Revised: 20 Jan 2016
Florin Spinu
affiliation not provided to SSRN

Abstract:

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rebalancing gains, buy and hold, geometric Brownian motion