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Forecasting covariance for optimal carry trade portfolio allocations.

Matthew AmesGuillaume BagnarosaGareth W. PetersPavel V. ShevchenkoTomoko Matsui
Published in: ICASSP (2017)
Keyphrases
  • optimal solution
  • decision making
  • case study
  • dynamic programming
  • optimal allocation
  • transaction costs
  • face recognition
  • worst case
  • optimal strategy