PortfolioOptimisers.jl

Appearance

13

References ​

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

  2. V. A. Marčenko and L. A. Pastur. Distribution of eigenvalues for some sets of random matrices. Mathematics of the USSR-Sbornik 1, 457 (1967).

  3. G. P. Brinson and N. Fachler. Measuring non-US. equity portfolio performance. The Journal of Portfolio Management 11, 73–76 (1985).

  4. H. Markowitz. Modern portf`olio 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. 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).

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

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

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

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

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

Contributors ​

Index ​