Christian Colombo

Department of Statistics and Quantitative Methods University of Milano-Bicocca

Piazza dell’Ateneo Nuovo 1, 20126 Milano

Milano, 20126

Italy

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Risk Parity with Expectiles

Number of pages: 29 Posted: 15 Jul 2019
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Rome Tre University - Department of Business Studies, Department of Statistics and Quantitative Methods University of Milano-Bicocca and Faculty of Economics - Sapienza University of Rome
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Abstract:

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Risk Allocation, Expectiles, Risk Parity, Portfolio Selection, Risk Diversification