Search Results - subject:"matrix calculus"

Mesoscopic structure of the stock market and portfolio optimization

Zema, Sebastiano Michele; Fagiolo, Giorgio; Squartini, … - In: Journal of economic interaction and coordination 20 (2025) 2, pp. 307-333

Persistent link: https://www.econbiz.de/10015440256

The conditional autoregressive F-riesz model for realized covariance matrices

Opschoor, Anne; Lucas, André; Rossini, Luca - In: Journal of financial econometrics 23 (2025) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10015271649

Asset allocation with factor-based covariance matrices

Conlon, Thomas; Cotter, John; Kynigakis, Iason - In: European journal of operational research : EJOR 325 (2025) 1, pp. 189-203

Persistent link: https://www.econbiz.de/10015433232

Improving minimum-variance portfolio through shrinkage of large covariance matrices

Shi, Fangquan; Shu, Lianjie; He, Fangyi; Huang, Wenpo - In: Economic modelling 144 (2025), pp. 1-16

Persistent link: https://www.econbiz.de/10015193796

On the identity of two solution algorithms of the "improved normalized squared differences" matrix adjustment model

Révész, Tamás - In: Central European journal of operations research 33 (2025) 1, pp. 315-332

Persistent link: https://www.econbiz.de/10015195703

Factors relevance in asset pricing : new evidences in emerging markets from random matrix theory

Molero-González, Laura; Trinidad Segovia, Juan Evangelista - In: Economics and Business Letters : EBL 14 (2025) 2, pp. 75-87

Persistent link: https://www.econbiz.de/10015437925

Robust machine learning algorithms for text analysis

Ke, Shikun; Olea, José Luis Montiel; Nesbit, James - In: Quantitative economics : QE ; journal of the … 15 (2024) 4, pp. 939-970

We study the Latent Dirichlet Allocation model, a popular Bayesian algorithm for text analysis. We show that the model's parameters are not identified, which suggests that the choice of prior matters. We characterize the range of values that the posterior mean of a given functional of the...

Persistent link: https://www.econbiz.de/10015189767

A tutorial on box-total dual integrality

Lancini, Emiliano; Pisanu, Francesco - 2024

Persistent link: https://www.econbiz.de/10015176926

Characterizing path-length matrices of unrooted binary trees

Catanzaro, Daniele; Pesenti, Raffaele; Ronco, Roberto - 2024

Persistent link: https://www.econbiz.de/10015137823

Multidimensional screening after 37 years

Rochet, Jean-Charles - 2024

Persistent link: https://www.econbiz.de/10014577045