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isPartOf:"Journal of financial economics"
~isPartOf:"Economic modelling"
~isPartOf:"Finance research letters"
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Search: subject_exact:"Correlation"
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Portfolio selection
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Journal of financial economics
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ECONIS (ZBW)
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1
Dynamic graph reinforcement learning algorithm for portfolio management : a novel time-frequency correlated model
Ma, Cong
;
Nan, Shijing
- In:
Finance research letters
63
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014531565
Saved in:
2
Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization
Bongiorno, Christian
;
Challet, Damien
- In:
Finance research letters
52
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014472232
Saved in:
3
Can a dynamic correlation factor improve the pricing of industry portfolios?
Božović, Miloš
- In:
Finance research letters
53
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014472399
Saved in:
4
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras
;
Parolya, Nestor
;
Thorsén, Erik
- In:
Finance research letters
54
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014472777
Saved in:
5
Deconstructing the Gerber statistic
Flint, Emlyn
;
Polakow, Daniel
- In:
Finance research letters
56
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014473719
Saved in:
6
Portfolio optimization in the presence of tail correlation
Ben Abdelaziz, Fouad
;
Chibane, Messaoud
- In:
Economic modelling
122
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014388707
Saved in:
7
Asymmetric asset correlation in credit portfolios
Cho, Yongbok
;
Lee, Yong Woong
- In:
Finance research letters
49
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10013478636
Saved in:
8
A common pattern across asset pricing anomalies
Božović, Miloš
- In:
Finance research letters
48
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013464296
Saved in:
9
Regime-switching angular correlation diversification
Lee, Hsiang-Tai
- In:
Finance research letters
50
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014234140
Saved in:
10
Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations
Sleire, Anders D.
;
Støve, Bård
;
Otneim, Håkon
; …
- In:
Finance research letters
46
(
2022
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10013342680
Saved in:
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