Bias-Variance Trade-Off in Portfolio Optimization under Expected Shortfall with <sub>2</sub> Regularization (2017)

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/10.2139/ssrn.2899446

Publication URI: http://dx.doi.org/10.2139/ssrn.2899446

Type: Journal Article/Review

Parent Publication: SSRN Electronic Journal