Computing equal risk contribution portfolios
Computing equal risk contribution portfolios
Helmut E. Mausser,Oleksandr Romanko
2014 · DOI: 10.1147/JRD.2014.2325291
IBM Journal of Research and Development · 18 Citations
TLDR
This paper reviews the nonlinear optimization models that underlie the ERC approach and compares the performance of several nonlinear programming algorithms when constructing ERC portfolios and suggests that performance worsens with a poor choice of algorithm or a bad problem formulation.
