PortfolioOptimisers.jl

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References ​

  1. M. M. De Prado. Machine learning for asset managers (Cambridge University Press, 2020).

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  4. H. Markowitz. Modern portfolio theory. Journal of Finance 7, 77–91 (1952).

  5. S. Gerber, H. Markowitz, P. Ernst, Y. Miao, P. Sargen and others. The Gerber statistic: A robust co-movement measure for portfolio optimization. No and Sargen, Paul, The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization (July 4, 2021) (2021).

  6. E. Flint and D. Polakow. Deconstructing the Gerber statistic. Finance Research Letters 56, 104144 (2023).

  7. K. H. Knuth. Optimal data-based binning for histograms and histogram-based probability density models. Digital Signal Processing 95, 102581 (2019).

  8. D. Freedman and P. Diaconis. On the histogram as a density estimator: L2 theory. Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 57, 453–476 (1981).

  9. D. W. Scott. On optimal and data-based histograms. Biometrika 66, 605–610 (1979).

  10. S. Gerber, W. Smyth, H. Markowitz, Y. Miao, P. Ernst and P. Sargen. Squeezing financial noise: A novel approach to covariance matrix estimation. Available at SSRN 4986939 (2025).

  11. W.-M. Song, T. Di Matteo and T. Aste. Hierarchical information clustering by means of topologically embedded graphs. PloS one 7, e31929 (2012).

  12. W. Barfuss, G. P. Massara, T. Di Matteo and T. Aste. Parsimonious modeling with information filtering networks. Phys. Rev. E 94, 062306 (2016).

  13. D. N. Politis and J. P. Romano. The stationary bootstrap. Journal of the American Statistical Association 89, 1303–1313 (1994).

  14. D. N. Politis and J. P. Romano. A circular block-resampling procedure for stationary data. In: Exploring the Limits of Bootstrap (John Wiley & Sons, 1992); pp. 263–270.

  15. H. R. Künsch. The jackknife and the bootstrap for general stationary observations. The Annals of Statistics 17, 1217–1241 (1989).

  16. D. Cajas. OWA portfolio optimization: A disciplined convex programming framework. Available at SSRN 3988927 (2021).

  17. D. Cajas. Efficient Gini Mean Difference and Tail Gini Portfolio Optimization based on P-Norms. Available at SSRN 4711326 (2024).

  18. D. Cajas. Higher order moment portfolio optimization with L-moments. Available at SSRN 4393155 (2023).

Contributors ​

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