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Keywords: F30
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Journal Articles
Journal:
Journal of Capital Markets Studies
Journal of Capital Markets Studies (2021) 5 (1): 28–48.
Published: 16 March 2021
... Cryptocurrencies Minimum variance Equal risk contribution Most diversified portfolio Multivariate GARCH F30 G11 G15 where ω a is the weight of a asset and M ω ∈ Ω is the portfolio's standard deviation. Hence, the optimization problem of ERC is (6...
