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Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model
Winker, Peter; Lyra, Marianna; Sharpe, Chris - In: Computational Management Science : CMS 8 (2011) 1/2, pp. 103-123
Persistent link: https://www.econbiz.de/10008992060
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Robust portfolio optimization with a hybrid heuristic algorithm
Fastrich, Björn; Winker, Peter - In: Computational Management Science : CMS 9 (2012) 1, pp. 63-88
Persistent link: https://www.econbiz.de/10009426597
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Constructing optimal sparse portfolios using regularization methods
Fastrich, Björn; Paterlini, Sandra; Winker, Peter - In: Computational Management Science : CMS 12 (2015) 3, pp. 417-434
Persistent link: https://www.econbiz.de/10011285983