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Christophe Chorro
ORCID
Publication Activity (10 Years)
Years Active: 2020-2020
Publications (10 Years): 3
Top Topics
Cma Es
Class Conditional Densities
Option Pricing
Mahalanobis Distance
Top Venues
Soft Comput.
ICASSP
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Publications
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Emmanuelle Jay
,
Thibault Soler
,
Jean Philippe Ovarlez
,
Philippe de Peretti
,
Christophe Chorro
Robust Covariance Matrix Estimation and Portfolio Allocation: The Case of Non-Homogeneous Assets.
ICASSP
(2020)
Christophe Chorro
,
Rahantamialisoa H. Fanirisoa
Option valuation with IG-GARCH model and a U-shaped pricing kernel.
Soft Comput.
24 (12) (2020)
Emmanuelle Jay
,
Thibault Soler
,
Eugénie Terreaux
,
Jean Philippe Ovarlez
,
Frédéric Pascal
,
Philippe de Peretti
,
Christophe Chorro
Improving portfolios global performance using a cleaned and robust covariance matrix estimate.
Soft Comput.
24 (12) (2020)