Quantile-based portfolios: post-model-selection estimation with alternative specifications (Q2051169): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10287-021-00396-7
+Normal rank
@@ Property / OpenAlex ID @@
+W3156999455
@@ Property / OpenAlex ID: W3156999455 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Risk management under a prudential policy
@@ Property / cites work: Risk management under a prudential policy / rank @@
+Normal rank
@@ Property / cites work @@
+\(\ell_1\)-penalized quantile regression in high-dimensional sparse models
+Normal rank
@@ Property / cites work @@
+Asset allocation strategies based on penalized quantile regression
+Normal rank
@@ Property / cites work @@
+Developing new portfolio strategies by aggregation
+Normal rank
@@ Property / cites work @@
+Sparse and stable Markowitz portfolios
@@ Property / cites work: Sparse and stable Markowitz portfolios / rank @@
+Normal rank
@@ Property / cites work @@
+On the feasibility of portfolio optimization under expected shortfall
+Normal rank
@@ Property / cites work @@
+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
+Normal rank
@@ Property / cites work @@
+Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
+Normal rank
@@ Property / cites work @@
+Vast Portfolio Selection With Gross-Exposure Constraints
+Normal rank
@@ Property / cites work @@
+Constructing optimal sparse portfolios using regularization methods
+Normal rank
@@ Property / cites work @@
+Recovering Sparse Signals With a Certain Family of Nonconvex Penalties and DC Programming
+Normal rank
@@ Property / cites work @@
+Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence
+Normal rank
@@ Property / cites work @@
+Q4459806
@@ Property / cites work: Q4459806 / rank @@
+Normal rank
@@ Property / cites work @@
+Genetic algorithm versus classical methods in sparse index tracking
+Normal rank
@@ Property / cites work @@
+Un-diversifying during crises: is it a good idea?
@@ Property / cites work: Un-diversifying during crises: is it a good idea? / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Network Systemic Risk Contributions
@@ Property / cites work: Financial Network Systemic Risk Contributions / rank @@
+Normal rank
@@ Property / cites work @@
+Q3413299
@@ Property / cites work: Q3413299 / rank @@
+Normal rank
@@ Property / cites work @@
+Regression Quantiles
@@ Property / cites work: Regression Quantiles / rank @@
+Normal rank
@@ Property / cites work @@
+Risk minimization in multi-factor portfolios: what is the best strategy?
+Normal rank
@@ Property / cites work @@
+Model Selection via Bayesian Information Criterion for Quantile Regression Models
+Normal rank
@@ Property / cites work @@
+Sparse estimators and the oracle property, or the return of Hodges' estimator
+Normal rank
@@ Property / cites work @@
+CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?
+Normal rank
@@ Property / cites work @@
+Dynamic semiparametric models for expected shortfall (and value-at-risk)
+Normal rank
@@ Property / cites work @@
+Q4864293
@@ Property / cites work: Q4864293 / rank @@
+Normal rank
@@ Property / cites work @@
+Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
+Normal rank
@@ Property / cites work @@
+Nearly unbiased variable selection under minimax concave penalty
+Normal rank