Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{ {\rm e}} {\ell_2}$ regularization (2019)

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/10.1088/1742-5468/aaf108

Publication URI: http://dx.doi.org/10.1088/1742-5468/aaf108

Type: Journal Article/Review

Parent Publication: Journal of Statistical Mechanics: Theory and Experiment

Issue: 1