TPLVM: Portfolio Construction by Student’s t -Process Latent Variable Model
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Cited by:
- Patrick Toman & Nalini Ravishanker & Nathan Lally & Sanguthevar Rajasekaran, 2023. "Latent Autoregressive Student- t Prior Process Models to Assess Impact of Interventions in Time Series," Future Internet, MDPI, vol. 16(1), pages 1-17, December.
- Donghun Lee, 2022. "Knowledge Gradient: Capturing Value of Information in Iterative Decisions under Uncertainty," Mathematics, MDPI, vol. 10(23), pages 1-20, November.
- Julia Adamska & Łukasz Bielak & Joanna Janczura & Agnieszka Wyłomańska, 2022. "From Multi- to Univariate: A Product Random Variable with an Application to Electricity Market Transactions: Pareto and Student’s t -Distribution Case," Mathematics, MDPI, vol. 10(18), pages 1-29, September.
- Yusuke Uchiyama & Kei Nakagawa, 2022. "Schr\"{o}dinger Risk Diversification Portfolio," Papers 2202.09939, arXiv.org.
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Keywords
student’s t-process; latent variable model; factor model; Portfolio theory; global stock markets;All these keywords.
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