Bjoern Fastrich

University of Giessen - Department of Economics

Licher Str. 64

D-35394, Giessen

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

773

CITATIONS
Rank 27,154

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Top 27,154

in Total Papers Citations

15

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, University of Trento - Department of Economics and Management and University of Giessen - Department of Economics
Downloads 405 (70,808)
Citation 9

Abstract:

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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, University of Trento - Department of Economics and Management and University of Giessen - Department of Economics
Downloads 255 (118,231)
Citation 6

Abstract:

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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 113 (240,439)

Abstract:

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