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Analytic solution to variance optimization with no short-selling. (2017). Caccioli, Fabio ; Papp, G'Abor ; Kondor, Imre.
In: Papers.
RePEc:arx:papers:1612.07067.

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  1. A new spin on optimal portfolios and ecological equilibria. (2021). Benzaquen, Michael ; Garnier-Brun, Jerome ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano.
    In: Post-Print.
    RePEc:hal:journl:hal-03378915.

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  2. Optimizing expected shortfall under an ?1 constraint—an analytic approach. (2021). Kondor, Imre ; Papp, Gabor ; Caccioli, Fabio.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:111051.

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  3. Aspects of a phase transition in high-dimensional random geometry. (2021). Pruser, Axel ; Engel, Andreas ; Kondor, Imre.
    In: Papers.
    RePEc:arx:papers:2105.04395.

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  4. A new spin on optimal portfolios and ecological equilibria. (2021). Bouchaud, Jean-Philippe ; Ciliberti, Stefano ; Benzaquen, Michael ; Garnier-Brun, Jerome.
    In: Papers.
    RePEc:arx:papers:2104.00668.

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  5. Optimizing Expected Shortfall under an $\ell_1$ constraint -- an analytic approach. (2021). Caccioli, Fabio ; Kondor, Imre ; Papp, G'Abor.
    In: Papers.
    RePEc:arx:papers:2103.04375.

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  6. Portfolio Optimization under Correlation Constraint. (2020). Pirvu, Traian A ; Maheshwari, Aditya.
    In: Risks.
    RePEc:gam:jrisks:v:8:y:2020:i:1:p:15-:d:317375.

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  7. On non-negative solutions to large systems of random linear equations. (2020). Engel, Andreas ; Landmann, Stefan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:552:y:2020:i:c:s0378437119314554.

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  8. Portfolio optimization based on network topology. (2019). Li, Yan ; Zheng, BO ; Tian, Yue ; Jiang, Xiong-Fei.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:515:y:2019:i:c:p:671-681.

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  9. Analytic approach to variance optimization under an $\ell_1$ constraint. (2018). Caccioli, Fabio ; Papp, G'Abor ; Kondor, Imre.
    In: Papers.
    RePEc:arx:papers:1709.08755.

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References

References cited by this document

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