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Tail risks in large portfolio selection : penalized quantile and expectile minimum deviation models
Giacometti, Rosella; Torri, Gabriele; Paterlini, Sandra - In: Quantitative finance 21 (2021) 2, pp. 243-261
Persistent link: https://www.econbiz.de/10012424587
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Sparse index clones via the sorted ℓ1-Norm
Kremer, Philipp J.; Brzyski, Damian; Bogdan, Małgorzata; … - In: Quantitative finance 22 (2022) 2, pp. 349-366
Persistent link: https://www.econbiz.de/10013167757
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Market making with inventory control and order book information
Donatoni, Enrico; Paterlini, Sandra; Bazzana, Flavio - In: Quantitative finance 22 (2022) 3, pp. 597-610
Persistent link: https://www.econbiz.de/10013167784