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Davide Ferrari

University of Melbourne

185 Pelham Street

Carlton

Carlton, Victoria 3053

Australia

  • University of Melbourne

SCHOLARLY PAPERS

2

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184

TOTAL CITATIONS

4

Scholarly Papers (2)

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1.

Efficient and Robust Estimation for Financial Returns: An Approach Based on q-Entropy

Number of pages: 39 Posted: 10 Aug 2011
Davide Ferrari and Sandra Paterlini
University of Melbourne and University of Trento - Department of Economics and Management
Downloads 116 (613,149)
Citation 3

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q-entropy, robust estimation, power-divergence, financial returns

2.

Sparse and Robust Normal and t-Portfolios by Penalized Lq-Likelihood Minimization

Number of pages: 31 Posted: 22 May 2014 Last Revised: 02 Jun 2017
Davide Ferrari, Margherita Giuzio and Sandra Paterlini
University of Melbourne, European Central Bank (ECB) and University of Trento - Department of Economics and Management
Downloads 68 (891,180)
Citation 1

Abstract:

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q-entropy, penalized least squares, sparsity, index tracking