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Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization
Giuzio, Margherita - In: Essays in portfolio selection, (pp. 4-36). 2017
Persistent link: https://www.econbiz.de/10012111503
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Tracking hedge funds returns using sparse clones
Giuzio, Margherita - In: Essays in portfolio selection, (pp. 37-62). 2017
Persistent link: https://www.econbiz.de/10012111505
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Optimization heuristics in portfolio selection
Giuzio, Margherita - In: Essays in portfolio selection, (pp. 98-110). 2017
Persistent link: https://www.econbiz.de/10012111518