Search Results for author: Henryk Gzyl

Found 4 papers, 0 papers with code

How dark is the dark side of diversification?

no code implementations22 Dec 2020 Pedro Cadenas, Henryk Gzyl, Hyun Woong Park

Against the widely held belief that diversification at banking institutions contributes to the stability of the financial system, Wagner (2010) found that diversification actually makes systemic crisis more likely.

Geometry and clustering with metrics derived from separable Bregman divergences

no code implementations25 Oct 2018 Erika Gomes-Gonçalves, Henryk Gzyl, Frank Nielsen

Separable Bregman divergences induce Riemannian metric spaces that are isometric to the Euclidean space after monotone embeddings.

Clustering Quantization

Which portfolio is better? A discussion of several possible comparison criteria

no code implementations16 May 2018 Henryk Gzyl, Alfredo Rios

We believe that some of these results may be due to the comparison criterion used.

Filtering Additive Measurement Noise with Maximum Entropy in the Mean

no code implementations4 Sep 2007 Henryk Gzyl, Enrique ter Horst

The purpose of this note is to show how the method of maximum entropy in the mean (MEM) may be used to improve parametric estimation when the measurements are corrupted by large level of noise.

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