Bjoern Fastrich

University of Giessen - Department of Economics

Licher Str. 64

D-35394, Giessen

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

938

SSRN CITATIONS
Rank 48,097

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Top 48,097

in Total Papers Citations

9

CROSSREF CITATIONS

5

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 496 (72,215)
Citation 12

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 293 (131,455)
Citation 3

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 149 (245,966)

Abstract:

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