| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| $L_p$ regularized portfolio optimization |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
49 |
| Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization |
1 |
1 |
2 |
20 |
1 |
2 |
6 |
74 |
| Concave risk measures in international capital regulation |
0 |
0 |
0 |
5 |
0 |
1 |
1 |
34 |
| Contour map of estimation error for Expected Shortfall |
0 |
0 |
0 |
13 |
1 |
1 |
2 |
30 |
| Divergent estimation error in portfolio optimization and in linear regression |
0 |
0 |
0 |
27 |
0 |
0 |
1 |
78 |
| Estimated Correlation Matrices and Portfolio Optimization |
0 |
0 |
0 |
20 |
0 |
0 |
0 |
74 |
| Estimation Error of Expected Shortfall |
0 |
0 |
0 |
63 |
1 |
1 |
1 |
58 |
| Evaluating the RiskMetrics Methodology in Measuring Volatility and Value-at-Risk in Financial Markets |
0 |
0 |
1 |
90 |
0 |
0 |
3 |
281 |
| Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization |
0 |
0 |
0 |
781 |
1 |
1 |
4 |
1,876 |
| Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization |
1 |
1 |
1 |
36 |
1 |
1 |
2 |
115 |
| Feasibility of Portfolio Optimization under Coherent Risk Measures |
0 |
0 |
0 |
11 |
0 |
0 |
0 |
43 |
| Noise sensitivity of portfolio selection under various risk measures |
0 |
0 |
0 |
28 |
0 |
0 |
1 |
90 |
| Noisy Covariance Matrices and Portfolio Optimization |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
49 |
| Noisy Covariance Matrices and Portfolio Optimization II |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
82 |
| On the Feasibility of Portfolio Optimization under Expected Shortfall |
0 |
0 |
0 |
34 |
0 |
0 |
0 |
85 |
| Optimal Liquidation Strategies Regularize Portfolio Selection |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
59 |
| Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error |
0 |
0 |
0 |
24 |
0 |
0 |
0 |
31 |
| Random Matrix Filtering in Portfolio Optimization |
0 |
0 |
0 |
110 |
1 |
1 |
1 |
299 |
| Regularizing Portfolio Optimization |
0 |
0 |
0 |
21 |
0 |
0 |
0 |
111 |
| Replica approach to mean-variance portfolio optimization |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
37 |
| Strong random correlations in networks of heterogeneous agents |
0 |
0 |
0 |
18 |
1 |
1 |
1 |
49 |
| The Interrupted Power Law and The Size of Shadow Banking |
0 |
0 |
0 |
36 |
0 |
0 |
0 |
73 |
| The Interrupted Power Law and The Size of Shadow Banking |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
51 |
| The instability of downside risk measures |
1 |
1 |
1 |
16 |
1 |
1 |
2 |
58 |
| Total Working Papers |
3 |
3 |
5 |
1,426 |
8 |
10 |
28 |
3,786 |
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