Portfolio optimisation with Equally-weighted risk contributions strategy
Kladnik, Tina (2009) Portfolio optimisation with Equally-weighted risk contributions strategy. [Dissertation (University of Nottingham only)] (Unpublished)
Markowitz has lifted portfolio theory to scientific level by introducing mean-variance framework. Minimum Variance portfolio, unique portfolio on the mean-variance efficient portfolio, has attracted a lot of interest as it is independent of returns expectations. However, the approach has plenty of limitations.
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