3 citations · 4 across the 2 of their papers we have counts for
5 papers
Neural Network-Driven Volatility Drag Mitigation under Aggressive Leverage
Christian Bongiorno, Efstratios Manolakis, Rosario Nunzio Mantegna
This paper introduces a compact reformulation of a modular end-to-end neural network for global minimum-variance portfolio optimization that decouples model complexity from both lo…
End-to-End Large Portfolio Optimization for Variance Minimization with Neural Networks through Covariance Cleaning
Christian Bongiorno, Efstratios Manolakis, Rosario Nunzio Mantegna
We develop a rotation-invariant neural network that provides the global minimum-variance portfolio by jointly learning how to lag-transform historical returns and marginal volatili…
Physics-Informed Singular-Value Learning for Cross-Covariances Forecasting in Financial Markets
Efstratios Manolakis, Christian Bongiorno, Rosario Nunzio Mantegna
Recent advances in nonlinear shrinkage yield asymptotically optimal cleaners for large covariance matrices and have been extended to empirical cross-covariances via singular-value…
Large scale statistically validated comorbidity networks
Paride Crisafulli, Tobias Galla, Antti Karlsson +3
We obtain comorbidity networks starting from medical information stored in electronic health records collected by the Wellbeing Services County of Southwest Finland (Varha). Based…
Heterogeneity of household stock portfolios in a national market
Matteo Milazzo, Federico Musciotto, Jyrki Piilo +1
We study the long term dynamics of the stock portfolios owned by single Finnish legal entities in the Helsinki venue of the Nasdaq Nordic between 2001 and 2021. Using the Herfindah…