Construction of currency portfolios by means of an optimized investment strategy
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DOI: 10.1016/j.orp.2018.01.001
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- L. Ponta & A. Carbone, 2019. "Quantifying horizon dependence of asset prices: a cluster entropy approach," Papers 1908.00257, arXiv.org, revised Apr 2020.
- Ponta, Linda & Carbone, Anna, 2018. "Information measure for financial time series: Quantifying short-term market heterogeneity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 132-144.
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Keywords
Investment strategy; Optimization algorithms; Profitable portfolios; Currencies;All these keywords.
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