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How to quantify the influence of correlations on investment diversification

Medo, Matúš; Yeung, Chi ho; Zhang, Yi-cheng - In: International review of financial analysis 18 (2009) 1/2, pp. 34-39

Persistent link: https://www.econbiz.de/10003850302

Reactive global minimum variance portfolios with k-BAHC covariance cleaning

Bongiorno, Christian; Challet, Damien - In: The European journal of finance 28 (2022) 13/15, pp. 1344-1360

Persistent link: https://www.econbiz.de/10013532213

Covariance matrix filtering and portfolio optimisation : the average oracle vs non-linear shrinkage and all the variants of DCC-NLS

Bongiorno, Christian; Challet, Damien - In: Quantitative finance 24 (2024) 9, pp. 1227-1234

Persistent link: https://www.econbiz.de/10015196881

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

When is cross impact relevant?

Le Coz, Victor; Mastromatteo, Iacopo; Challet, Damien; … - In: Quantitative finance 24 (2024) 2, pp. 265-279

Persistent link: https://www.econbiz.de/10014551975

Excess covariance and dynamic instability in a multi-asset model

Anufriev, Mikhail; Bottazzi, Giulio; Marsili, Matteo; … - In: Journal of economic dynamics & control 36 (2012) 8, pp. 1142-1161

Persistent link: https://www.econbiz.de/10009634273

Dynamic instability in generic model of multi-assets markets

Marsili, Matteo; Raffaelli, Giacomo; Ponsot, Benedicte - In: Journal of economic dynamics & control 33 (2009) 5, pp. 1170-1181

Persistent link: https://www.econbiz.de/10003844200

Dynamic Instability in Generic Model of Multi-Assets Markets

Marsili, Matteo; Raffaelli, Giacomo; Ponsot, Benedicte - 2008

We introduce a generic model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This captures the fact that financial correlation determine the optimal portfolio but are affected by investment based on it. We show that, under very...

Persistent link: https://www.econbiz.de/10014212679