Andreea Talmaciu

JP Morgan

London

United Kingdom

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Scholarly Papers (1)

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Risk Minimization in Multi-Factor Portfolios: What is the Best Strategy?

Annals of Operations Research, Forthcoming
Posted: 30 Mar 2017 Last Revised: 10 Apr 2017
Philipp Kremer, Andreea Talmaciu and Sandra Paterlini
EBS Universität für Wirtschaft und Recht, JP Morgan and University of Trento - Department of Economics and Management

Abstract:

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Risk Factors, Minimum Risk Portfolio, Regularization, Portfolio Optimization, Transaction Cost