Sparse spanning portfolios and under-diversification with second-order stochastic dominance

Documenti analoghi

• Low Volatility Stock Portfolio Through High Dimensional Bayesian Cointegration
  di: Yang, Parley R, et al.
  Pubblicazione: (2024)
• Probabilistic Forecasting for Day-ahead Electricity Prices, Battery Trading Strategies and the Economic Evaluation of Predictive Accuracy
  di: Hirsch, Simon, et al.
  Pubblicazione: (2026)
• Two is better than one: Regularized shrinkage of large minimum variance portfolio
  di: Bodnar, Taras, et al.
  Pubblicazione: (2022)
• Maximally Machine-Learnable Portfolios
  di: Coulombe, Philippe Goulet, et al.
  Pubblicazione: (2023)
• Dependency Network-Based Portfolio Design with Forecasting and VaR Constraints
  di: Lin, Zihan, et al.
  Pubblicazione: (2025)