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-neutral in...

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Bibliographic Details
Main Authors: de Prado, M.L (Author), Vince, R. (Author), Zhu, Q.J (Author)
Format: Article
Language:English
Published: MDPI AG 2019
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Online Access:View Fulltext in Publisher

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