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Robust portfolio selection using sparse estimation of comoment tensors

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  • Lassance, Nathan
  • Vrins, Frédéric

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  • Lassance, Nathan & Vrins, Frédéric, 2019. "Robust portfolio selection using sparse estimation of comoment tensors," LIDAM Discussion Papers LFIN 2019007, Université catholique de Louvain, Louvain Finance (LFIN).
  • Handle: RePEc:ajf:louvlf:2019007
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