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Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization (2016)

First Author: Papp G

Attributed to: Systemic Risk Centre funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.48550/arxiv.1602.08297

Publication URI: https://arxiv.org/abs/1602.08297

Type: Preprint