2 citations · 2 across the 2 of their papers we have counts for
3 papers
q-fin.PM2022
Canonical Portfolios: Optimal Asset and Signal Combination
Nikan Firoozye, Vincent Tan, Stefan Zohren
This paper presents a novel framework for analyzing the optimal asset and signal combination problem. Our approach builds upon the dynamic portfolio selection problem introduced by…
stat.ML2020★ 2 cited
Estimation of Large Financial Covariances: A Cross-Validation Approach
Vincent Tan, Stefan Zohren
We introduce a novel covariance estimator for portfolio selection that adapts to the non-stationary or persistent heteroskedastic environments of financial time series by employing…
econ.GN2015
Taming the Basel Leverage Cycle
Christoph Aymanns, Fabio Caccioli, J. Doyne Farmer +1
Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential risks caused by their systemic i…