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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
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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
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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
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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