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Damien Challet

7

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1049030

	Filtering time-dependent covariance matrices using time-independent eigenvalues Christian Bongiorno , Damien Challet , Grégoire Loeper Journal of Statistical Mechanics: Theory and Experiment, 2023, 2023 (2), pp.023402. ⟨10.1088/1742-5468/acb7ed⟩ Article dans une revue hal-03481441v1
	The Oracle estimator is suboptimal for global minimum variance portfolio optimisation Christian Bongiorno , Damien Challet Finance Research Letters, 2023, 52, pp.103383. ⟨10.1016/j.frl.2022.103383⟩ Article dans une revue hal-03491913v1
	Financial factors selection with knockoffs: fund replication, explanatory and prediction networks Damien Challet , Christian Bongiorno , Guillaume Pelletier Physica A: Statistical Mechanics and its Applications, 2021, 580, pp.126105. ⟨10.1016/j.physa.2021.126105⟩ Article dans une revue hal-03165842v1
	Nonparametric sign prediction of high-dimensional correlation matrix coefficients Christian Bongiorno , Damien Challet EPL - Europhysics Letters, 2021, 133 (4), pp.48001. ⟨10.1209/0295-5075/133/48001⟩ Article dans une revue hal-02335586v1
	Covariance matrix filtering with bootstrapped hierarchies Christian Bongiorno , Damien Challet PLoS ONE, 2021, 16 (1), pp.e0245092. ⟨10.1371/journal.pone.0245092⟩ Article dans une revue hal-02506848v1
	Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning Christian Bongiorno , Damien Challet European Journal of Finance, 2021, 28 (13-15), pp.1344-1360. ⟨10.1080/1351847X.2021.1963301⟩ Article dans une revue hal-02612262v1

	Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS Christian Bongiorno , Damien Challet 2023 Pré-publication, Document de travail hal-04323624v1