Search Results for author: Emanuele Taufer

Found 2 papers, 0 papers with code

A generalized precision matrix for t-Student distributions in portfolio optimization

no code implementations25 Mar 2022 Karoline Bax, Emanuele Taufer, Sandra Paterlini

In particular, when focusing on the minimum-variance portfolio, the covariance matrix or better its inverse, the so-called precision matrix, is the only input required.

Portfolio Optimization

New estimation approaches for graphical models with elastic net penalty

no code implementations1 Feb 2021 Davide Bernardini, Sandra Paterlini, Emanuele Taufer

Finally, the third estimator relies on a 2-stages procedure that estimates the edge set first and then the precision matrix elements.

Methodology

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