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Least-squares approach to risk parity in portfolio selection

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References

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2017Minimum risk versus capital and risk diversification strategies for portfolio construction42 cited
2021Optimal Portfolio Diversification via Independent Component Analysis41 cited
2023End-to-end risk budgeting portfolio optimization with neural networks

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2015SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design38 cited

2019An optimization–diversification approach to portfolio selection34 cited