2 papers
stat.ML2025
A Scalable Gradient-Based Optimization Framework for Sparse Minimum-Variance Portfolio Selection
Sarat Moka, Matias Quiroz, Vali Asimit +1
Portfolio optimization involves selecting asset weights to minimize a risk-reward objective, such as the portfolio variance in the classical minimum-variance framework. Sparse port…
econ.EM2024
Forecasting realized covariances using HAR-type models
Matias Quiroz, Laleh Tafakori, Hans Manner
We investigate methods for forecasting multivariate realized covariances matrices applied to a set of 30 assets that were included in the DJ30 index at some point, including two no…