Bias-variance trade-off in portfolio optimization under...

Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{{\rm e}} {\ell_2}$ regularization

Papp, Gábor, Caccioli, Fabio, Kondor, Imre
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Volume:
2019
Journal:
Journal of Statistical Mechanics: Theory and Experiment
DOI:
10.1088/1742-5468/aaf108
Date:
January, 2019
File:
PDF, 1.24 MB
2019
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