Risk minimization in multi-factor portfolios: What is the best strategy?
Kremer, Philipp J., Talmaciu, Andreea, Paterlini, Sandra
Published in Annals of operations research (01.07.2018)
Published in Annals of operations research (01.07.2018)
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Journal Article
Sparse index clones via the sorted ℓ1-Norm
Kremer, Philipp J., Brzyski, Damian, Bogdan, Małgorzata, Paterlini, Sandra
Published in Quantitative finance (2022)
Published in Quantitative finance (2022)
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Journal Article
Sparse Index Clones via the sorted ℓ 1 - Norm
Kremer, Philipp J, Brzyski, Damian, Bogdan, Małgorzata, Paterlini, Sandra
Published in Quantitative finance (2022)
Published in Quantitative finance (2022)
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Journal Article
Sparse portfolio selection via the sorted ℓ1-Norm
Kremer, Philipp J., Lee, Sangkyun, Bogdan, Małgorzata, Paterlini, Sandra
Published in Journal of banking & finance (01.01.2020)
Published in Journal of banking & finance (01.01.2020)
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Journal Article
Sparse Graphical Modelling via the Sorted L$_1$-Norm
Riccobello, Riccardo, Bogdan, Malgorzata, Bonaccolto, Giovanni, Kremer, Philipp J, Paterlini, Sandra, Sobczyk, Piotr
Year of Publication 21.04.2022
Year of Publication 21.04.2022
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Journal Article
Sparse Portfolio Selection via the sorted $\ell_{1}$-Norm
Kremer, Philipp J, Lee, Sangkyun, Bogdan, Malgorzata, Paterlini, Sandra
Year of Publication 06.10.2017
Year of Publication 06.10.2017
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Journal Article
Sparse Portfolio Selection via the sorted \(\ell_{1}\)-Norm
Kremer, Philipp J, Lee, Sangkyun, Bogdan, Malgorzata, Paterlini, Sandra
Published in arXiv.org (06.10.2017)
Published in arXiv.org (06.10.2017)
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