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

First Author: Papp

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: http://arxiv.org/abs/1602.08297

Type: Journal Article/Review

Parent Publication: arXiv e-prints