Robust portfolio selection using sparse estimation of comoment tensors

Nathan Lassance and Frédéric Vrins

No 2020003, LIDAM Discussion Papers LFIN from Université catholique de Louvain, Louvain Finance (LFIN)

Keywords: finance; portfolio selection; robustness; independent component analysis; higher moments (search for similar items in EconPapers)
Date: 2020-01-01
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Working Paper: Robust portfolio selection using sparse estimation of comoment tensors (2019)
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