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Optimizing a basket against the efficient market hypothesis

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  • Fr�d�ric Abergel
  • Mauro Politi

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  • Fr�d�ric Abergel & Mauro Politi, 2013. "Optimizing a basket against the efficient market hypothesis," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 13-23, December.
    • Handle: RePEc:taf:quantf:v:13:y:2013:i:1:p:13-23
    DOI: 10.1080/14697688.2012.723821
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    References listed on IDEAS

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    1. Byron J. T. Morgan, 1989. "Introduction to Optimization," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 152(2), pages 254-255, March.
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    Cited by:

    1. Ammy-Driss, Ayoub & Garcin, Matthieu, 2023. "Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).

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