3 citations · 6 across the 3 of their papers we have counts for
3 papers
Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series
Lucija Žignić, Stjepan Begušić, Zvonko Kostanjčar
Estimation of high-dimensional covariance matrices in latent factor models is an important topic in many fields and especially in finance. Since the number of financial assets grow…
Statistical arbitrage portfolio construction based on preference relations
Fredi Šarić, Stjepan Begušić, Andro Merćep +1
Statistical arbitrage methods identify mispricings in securities with the goal of building portfolios which are weakly correlated with the market. In pairs trading, an arbitrage op…
Deep Reinforcement Learning for Robust Goal-Based Wealth Management
Tessa Bauman, Bruno Gašperov, Stjepan Begušić +1
Goal-based investing is an approach to wealth management that prioritizes achieving specific financial goals. It is naturally formulated as a sequential decision-making problem as…