Portfolio Rho-presentativity


Maximally ρ-presentative portfolios maximize under no constraint an aggregation of their vector of exposure to all assets, that is measured by a symmetric, increasing and concave real-valued function f. We provide a basic... [ view full abstract ]


  1. Tristan Froidure (TOBAM)
  2. Khalid Jalalzai (TOBAM)
  3. Yves Choueifaty (TOBAM)

Topic Areas

Optimal Investment , Optimization , Portfolio Theory


MO-A-SY » Portfolio Choice and Beyond (11:30 - Monday, 16th July, Synge)

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