Andrea Rigamonti

Free University of Bozen-Bolzano

Universitätsplatz 1

Bozen-Bolzano, BZ 39100

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

183

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Asset Allocation Under Predictability and Parameter Uncertainty Using LASSO

Number of pages: 27 Posted: 19 Oct 2018 Last Revised: 19 Jul 2019
Andrea Rigamonti and Alex Weissensteiner
Free University of Bozen-Bolzano and Free University of Bolzano Bozen
Downloads 134 (218,798)

Abstract:

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LASSO, cross-validation, return predictability, parameter uncertainty, portfolio selection

2.

Downside Risk Optimization vs Mean-Variance Optimization

Number of pages: 23 Posted: 17 Oct 2019
Andrea Rigamonti
Free University of Bozen-Bolzano
Downloads 49 (400,016)

Abstract:

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downside risk, semivariance, skewness, parameter uncertainty, portfolio optimization