Mirror descent with a tamed gradient provably computes risk budgeting portfolios for sub-additive positive homogeneous risk measures, with a.s. convergence and explicit averaged-iterate rates.
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Mirror Descent Algorithms for Risk Budgeting Portfolios
Mirror descent with a tamed gradient provably computes risk budgeting portfolios for sub-additive positive homogeneous risk measures, with a.s. convergence and explicit averaged-iterate rates.