Risk parity: An alternative formulation for risk-averse stochastic optimization in presence of heavy-tailed distribution of losses

Document Details

Document Type
Pub Defense Publication
Publication Date
Jul 21, 2022
Source ID
10.1080/01605682.2022.2096494

Entities

People

  • Alexander Vinel
  • Nasrin Mohabbati-Kalejahi

Organizations

  • Air Force Office of Scientific Research
  • Air Force Research Laboratory
  • Auburn University
  • California State University, San Bernardino