Anna Simoni

University of Toulouse 1 - Toulouse School of Economics (TSE)

Place Anatole-France

Toulouse Cedex, F-31042

France

http://simoni.anna.googlepages.com/

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Scholarly Papers (1)

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Portfolio Allocation as an Inverse Problem

Posted: 19 Dec 2008 Last Revised: 12 Oct 2009
Guillaume Simon and Anna Simoni
Capital Fund Management and University of Toulouse 1 - Toulouse School of Economics (TSE)

Abstract:

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Portfolio Allocation, Black-Litterman, Shrinkage, Inverse Problems, Regularization