Portfolio optimization with sparse multivariate modeling

Author:

Procacci Pier FrancescoORCID,Aste Tomaso

Funder

Engineering and Physical Sciences Research Council

Publisher

Springer Science and Business Media LLC

Subject

Information Systems and Management,Strategy and Management,Business and International Management

Reference70 articles.

1. Alexander, C., and A. Chibumba. 1997. Multivariate orthogonal factor garch. Mimeo: University of Sussex.

2. Arditti, F., and H. Levy. 1976. Portfolio efficiency analysis in three moments: The multiperiod case. Journal of Finance 30: 797–809.

3. Aste, T., 2020. Topological regularization with information filtering networks. arXiv preprint http://arxiv.org/abs/2005.04692.

4. Aste, T., T. Di Matteo. 2017. Causality network retrieval from short time series. arXiv preprint http://arxiv.org/abs/1706.01954.

5. Aste, T., and T. Di Matteo. 2006. Dynamical networks from correlations. Physica A: Statistical Mechanics and its Applications 370: 156–161. https://doi.org/10.1016/j.physa.2006.04.019

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