Thomas Bjerring

Technical University of Denmark - Management Engineering

Produktionstorvet 424

room 043

Kgs. Lyngby, 2800

Denmark

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Feature Selection for Portfolio Optimization

Annals of Operation Research, Forthcoming
Number of pages: 25 Posted: 14 Jan 2015 Last Revised: 03 Mar 2017
Thomas Bjerring, Omri Ross and Alex Weissensteiner
Technical University of Denmark - Management Engineering, University of Copenhagen and Free University of Bolzano Bozen
Downloads 754 (32,554)
Citation 2

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Portfolio Optimization, Feature Selection, Agglomerative Hierarchical Clustering

2.

Portfolio Selection Under Supply Chain Predictability

Computational Management Science, 2018, 15(2), 139-159
Number of pages: 23 Posted: 29 Mar 2016 Last Revised: 31 Dec 2018
Technical University of Denmark - Management Engineering, Technical University of Denmark and Free University of Bolzano Bozen
Downloads 154 (192,947)

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Predictability of Returns, Supply Chain, Scenario Generation, Portfolio Selection, Stochastic Programming

3.

Portfolio Optimization of Commodity Futures with Seasonal Components and Higher Moments

Number of pages: 18 Posted: 17 Nov 2016
Technical University of Denmark - Management Engineering, Technical University of Denmark and Free University of Bolzano Bozen
Downloads 122 (232,207)

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Commodity Futures, Sieve Bootstrapping, Omega Ratio, Portfolio Optimization, Stochastic Programming