Patrick Gagliardini

Publication Activity (10 Years)

Years Active: 2013-2020
Publications (10 Years): 2

Top Topics

Financial Time Series

Maximum Entropy

Portfolio Optimization

Top Venues

Int. J. Approx. Reason.

SIAM J. Financial Math.

Publications

Illia Horenko, Ganna Marchenko, Patrick Gagliardini
On a computationally-scalable sparse formulation of the multidimensional and non-stationary maximum entropy principle. CoRR (2020)
Ganna Marchenko, Patrick Gagliardini, Illia Horenko
Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series. SIAM J. Financial Math. 9 (4) (2018)
Patrick Gagliardini, Christian Gouriéroux
Granularity adjustment for risk measures: Systematic vs unsystematic risks. Int. J. Approx. Reason. 54 (6) (2013)