Laura Kristensen

Fortitudo Technologies

Østre Stationsvej 39B, 8. th.

Odense C, 5000

Denmark

http://fortitudo.tech

  • Fortitudo Technologies

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 37,441

SSRN RANKINGS

Top 37,441

in Total Papers Downloads

2,927

TOTAL CITATIONS

4

Scholarly Papers (2)

Actions:
Email selected abstracts
1.

Portfolio Optimization and Parameter Uncertainty

Number of pages: 15 Posted: 12 Feb 2024 Last Revised: 13 Mar 2024
Laura Kristensen and Anton Vorobets
Fortitudo Technologies and Fortitudo Technologies
Downloads 2,646 (11,298)
Citation 4

Abstract:

Loading...

Portfolio optimization, parameter uncertainty, Exposure Stacking, mean-CVaR, tail risk, mean-variance, efficient portfolio, efficient frontier, mean squared error, bias-variance trade-off, stacked generalization, quadratic programming, convex optimization, Python Programming Language.

2.

Time- and State-Dependent Resampling

Number of pages: 28 Posted: 24 Feb 2025 Last Revised: 11 Mar 2025
Laura Kristensen and Anton Vorobets
Fortitudo Technologies and Fortitudo Technologies
Downloads 281 (234,488)

Abstract:

Loading...

Time-and State-Dependent Resampling, Fully Flexible Resampling, Markov chain, Markov chain Monte Carlo, Monte Carlo simulation, market simulation, synthetic market data, Entropy Pooling, relative entropy, Kullback-Leibler divergence, stationary transformations, Python Programming Language