Search Results for author: Pier Francesco Procacci

Found 2 papers, 0 papers with code

Portfolio Optimization with Sparse Multivariate Modelling

no code implementations28 Mar 2021 Pier Francesco Procacci, Tomaso Aste

Portfolio optimization approaches inevitably rely on multivariate modeling of markets and the economy.

Portfolio Optimization

Forecasting market states

no code implementations13 Jul 2018 Pier Francesco Procacci, Tomaso Aste

In another experiment, with again one hundred log-returns and two states, we demonstrate that this procedure can be efficiently used to forecast off-sample future market states with significant prediction accuracy.

Clustering Management

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