| Publication | Date of Publication | Type |
|---|
An \(\ell_0\)-constrained and \(\ell_1\)-regularized estimator for graphical models
Statistics and Computing | 2026-01-22 | Paper |
Penalized enhanced portfolio replication with asymmetric deviation measures
Annals of Operations Research | 2024-09-03 | Paper |
A 2-stage elastic net algorithm for estimation of sparse networks with heavy-tailed data
Journal of Statistical Computation and Simulation | 2023-09-19 | Paper |
Estimating time-varying proximity with a state–space model
Journal of Statistical Computation and Simulation | 2023-09-19 | Paper |
Market making with inventory control and order book information
Quantitative Finance | 2022-05-05 | Paper |
Constructing banking networks under decreasing costs of link formation
Computational Management Science | 2022-04-20 | Paper |
Sparse index clones via the sorted \(\ell_1\)-norm
Quantitative Finance | 2022-04-05 | Paper |
Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models
Quantitative Finance | 2021-06-02 | Paper |
Developing new portfolio strategies by aggregation
Annals of Operations Research | 2021-01-06 | Paper |
Modeling operational risk: estimation and effects of dependencies
Proceedings of COMPSTAT'2010 | 2020-07-14 | Paper |
Evolutionary computation for modelling and optimization in finance
Proceedings of COMPSTAT'2010 | 2020-07-14 | Paper |
| Penalized least squares for optimal sparse portfolio selection | 2020-07-08 | Paper |
| A generalized description length approach for sparse and robust index tracking | 2020-07-08 | Paper |
Un-diversifying during crises: is it a good idea?
Computational Management Science | 2019-08-23 | Paper |
Sparse precision matrices for minimum variance portfolios
Computational Management Science | 2019-08-23 | Paper |
Risk minimization in multi-factor portfolios: what is the best strategy?
Annals of Operations Research | 2018-11-12 | Paper |
Tracking hedge funds returns using sparse clones
Annals of Operations Research | 2018-11-12 | Paper |
Asset allocation strategies based on penalized quantile regression
Computational Management Science | 2018-10-10 | Paper |
Robust and sparse banking network estimation
European Journal of Operational Research | 2018-05-31 | Paper |
Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization
European Journal of Operational Research | 2016-10-07 | Paper |
Constructing optimal sparse portfolios using regularization methods
Computational Management Science | 2015-07-24 | Paper |
Cardinality versus \(q\)-norm constraints for index tracking
Quantitative Finance | 2015-04-23 | Paper |
| Adaptive Minimax Estimation over Sparse $\ell_q$-Hulls | 2014-12-08 | Paper |
Adaptive Minimax Estimation over Sparse $\ell_q$-Hulls
(available as arXiv preprint) | 2014-12-08 | Paper |
The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
Methodology and Computing in Applied Probability | 2014-08-15 | Paper |
Optimization heuristics for determining internal rating grading scales
Computational Statistics and Data Analysis | 2014-04-14 | Paper |
Exact and heuristic approaches for the index tracking problem with UCITS constraints
Annals of Operations Research | 2013-08-07 | Paper |
Differential evolution and combinatorial search for constrained index-tracking
Annals of Operations Research | 2010-03-01 | Paper |
Using differential evolution to improve the accuracy of bank rating systems
Computational Statistics and Data Analysis | 2009-06-02 | Paper |
Differential evolution and particle swarm optimisation in partitional clustering
Computational Statistics and Data Analysis | 2008-12-11 | Paper |
Clustering financial time series: an application to mutual funds style analysis
Computational Statistics and Data Analysis | 2008-11-26 | Paper |
Technological modelling for graphical models: an approach based on genetic algorithms
Computational Statistics and Data Analysis | 2008-11-26 | Paper |
