Bjoern Fastrich

University of Giessen - Department of Economics

Licher Str. 64

D-35394, Giessen

Germany

SCHOLARLY PAPERS

3

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in Total Papers Downloads

612

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Scholarly Papers (3)

1.

Constructing Optimal Sparse Portfolios Using Regularization Methods

Number of pages: 30 Posted: 02 Nov 2012 Last Revised: 22 Aug 2014
Bjoern Fastrich, Sandra Paterlini and Peter Winker
University of Giessen - Department of Economics, EBS Universität für Wirtschaft und Recht and University of Giessen - Department of Economics
Downloads 234 (80,792)

Abstract:

Minimum Variance Portfolio, Statistical Regularization, Non-Convex Penalties

2.

Cardinality versus q-Norm Constraints for Index Tracking

Number of pages: 21 Posted: 21 Sep 2010
Bjoern Fastrich, Sandra Paterlini and Peter Winker
University of Giessen - Department of Economics, EBS Universität für Wirtschaft und Recht and University of Giessen - Department of Economics
Downloads 175 (118,683)

Abstract:

Index tracking, Cardinality constraint, q-Norm, Regularization methods, Heuristic algorithms

3.

Updating Views by Learning from the Others: Dynamically Combining Asset Allocation Strategies

Number of pages: 54 Posted: 15 Aug 2013
Bjoern Fastrich
University of Giessen - Department of Economics
Downloads 77 (215,388)

Abstract:

Asset allocation strategies, Statistical Learning, Relative Entropy, Black and Litterman