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docs/requirements.txt

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@@ -21,4 +21,6 @@ arch
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XlsxWriter
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networkx
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astropy
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pybind11
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pybind11
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sphinx-immaterial
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fonttools>=4.43.0
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docs/source/_static/Riskfolio.ico

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docs/source/_static/Riskfolio.png

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docs/source/_static/custom.css

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header.md-header{
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background-color: orange;
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color: #FFF;
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}
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.md-text-color {
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color: #666666; /* Custom primary font color */
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}
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.md-footer{
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background: #666666;
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}

docs/source/biblio.bib

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@@ -29,7 +29,7 @@ @article {Ledoit
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@article{Ledoit2008,
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author={Ledoit, Oliver and Wolf, Michael},
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title={{Robust performance hypothesis testing with the Sharpe ratio}},
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title={Robust performance hypothesis testing with the Sharpe ratio},
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journal={Journal of Empirical Finance},
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year=2008,
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volume={15},
@@ -84,20 +84,19 @@ @article{Resampling
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}
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@Article{Worst1,
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author="T{\"u}t{\"u}nc{\"u}, R.H.
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and Koenig, M.",
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title="Robust Asset Allocation",
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journal="Annals of Operations Research",
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year="2004",
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month="Nov",
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day="01",
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volume="132",
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number="1",
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pages="157--187",
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abstract="This article addresses the problem of finding an optimal allocation of funds among different asset classes in a robust manner when the estimates of the structure of returns are unreliable. Instead of point estimates used in classical mean-variance optimization, moments of returns are described using uncertainty sets that contain all, or most, of their possible realizations. The approach presented here takes a conservative viewpoint and identifies asset mixes that have the best worst-case behavior. Techniques for generating uncertainty sets from historical data are discussed and numerical results that illustrate the stability of robust optimal asset mixes are reported.",
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issn="1572-9338",
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doi="10.1023/B:ANOR.0000045281.41041.ed",
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url="https://doi.org/10.1023/B:ANOR.0000045281.41041.ed"
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author={T{\"u}t{\"u}nc{\"u}, R.H. and Koenig, M.},
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title={Robust Asset Allocation},
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journal={Annals of Operations Research},
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year={2004},
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month={Nov},
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day={01},
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volume={132},
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number={1},
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pages={157--187},
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abstract={This article addresses the problem of finding an optimal allocation of funds among different asset classes in a robust manner when the estimates of the structure of returns are unreliable. Instead of point estimates used in classical mean-variance optimization, moments of returns are described using uncertainty sets that contain all, or most, of their possible realizations. The approach presented here takes a conservative viewpoint and identifies asset mixes that have the best worst-case behavior. Techniques for generating uncertainty sets from historical data are discussed and numerical results that illustrate the stability of robust optimal asset mixes are reported.},
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issn={1572-9338},
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doi={10.1023/B:ANOR.0000045281.41041.ed},
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url={https://doi.org/10.1023/B:ANOR.0000045281.41041.ed}
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}
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@article{Black1,
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@Article{Hawawini,
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author={Gabriel A. Hawawini},
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title={{The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications}},
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title={The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications},
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journal={Journal of Financial Research},
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year=1980,
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volume={3},
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@TechReport{Ledoit2010,
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author={Olivier Ledoit and Michael Wolf},
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title={{Robust performance hypothesis testing with the variance}},
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title={Robust performance hypothesis testing with the variance},
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year=2010,
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month=Oct,
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institution={Institute for Empirical Research in Economics - University of Zurich},
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@TechReport{Ledoit2018,
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author={Olivier Ledoit and Michael Wolf},
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title={{Robust performance hypothesis testing with smooth functions of population moments}},
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title={Robust performance hypothesis testing with smooth functions of population moments},
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year=2018,
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month=Oct,
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institution={Department of Economics - University of Zurich},
@@ -314,7 +313,7 @@ @article{Rockafellar
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@InCollection{Uryasev1,
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author={A. Chekhlov and S. Uryasev and M. Zabarankin},
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editor={Panos M Pardalos and Athanasios Migdalas and George Baourakis},
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title={{Portfolio Optimization With Drawdown Constraints}},
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title={Portfolio Optimization With Drawdown Constraints},
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booktitle={{Supply Chain And Finance}},
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publisher={World Scientific Publishing Co. Pte. Ltd.},
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year=2004,
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doi = {10.1016/j.ejor.2013.08.035}
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}
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@comment{
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Los que siguen son ejemplos de libros.
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}
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@book{Knuth84,
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Author = {Donald E. Knuth},
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Publisher = {Addison-Wesley},
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doi = {10.1007/978-3-319-18482-1}
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}
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@comment{
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Ahora un ejemplo de un art'iculo publicado en un congreso. Nota tambi'en
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que, a'un cuando son varios autores, tienes que escribir *siempre* la
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palabra " and " entre cada par de ellos.
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}
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@inproceedings{Rofl06,
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Author = {Matthew Caesar and Tyson Condie and Jayanthkumar Kannan
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and Karthik Lakshminarayanan and Ion Stoica},
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Booktitle = {ACM SIGCOMM},
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Title = {{ROFL}: Routing on Flat Labels},
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Year = {2006}}
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@comment{
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Finalmente dos referencias a manuales.
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}
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@misc{Wolf,
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author = {Michael Wolf},
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title = {Publications},
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year = {2008},
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howpublished = {\url{https://www.econ.uzh.ch/en/people/faculty/wolf/publications.html}},
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urldate = {15-07-2019}
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}
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@manual{doc:natbib,
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Author = {Patrick W. Daly},
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Month = feb,
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Title = {Naural Sciences Citations and References},
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Year = {2007}}
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@manual{doc:geometry,
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Author = {Hideo Umeki},
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Month = jul,
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Title = {The geometry package},
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Year = {2002}}
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@comment{
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Referencias a tesis
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}
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@mastersthesis{Graaf,
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author = {T.A. de Graaf},
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title = {Robust Mean-Variance Optimization},
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author = {Prado, Marcos},
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year = {2019},
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month = {01},
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pages = {},
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title = {A Robust Estimator of the Efficient Frontier},
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journal = {SSRN Electronic Journal},
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doi = {10.2139/ssrn.3469961}
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doi = {10.2139/ssrn.3469961},
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}
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@article{jLogo,
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publisher={Cambridge University Press},
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author={López de Prado, Marcos M.},
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year={2020},
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collection={Elements in Quantitative Finance}
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collection={Elements in Quantitative Finance},
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}
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@article{Cajas3,
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title = {Dual Stochastic Dominance and Quantile Risk Measures},
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volume = {9},
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journal = {International Transactions in Operational Research},
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doi = {10.1111/1475-3995.00380}
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doi = {10.1111/1475-3995.00380},
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}
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@article{Gerber2021,
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publisher = {Elsevier {BV}},
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author = {Sander Gerber and Harry Markowitz and Philip Ernst and Yinsen Miao and Babak Javid and Paul Sargen},
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title = {The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization},
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journal = {SSRN Electronic Journal},
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journal = {SSRN Electronic Journal},
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}
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@article{Cajas4,
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author = {Dany Cajas},
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title = {Portfolio Optimization of Relativistic Value at Risk},
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journal = {SSRN Electronic Journal},
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doi = {10.2139/ssrn.4378498},
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}
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@article{Cajas6,
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month = {12},
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title = {A Graph Theory Approach to Portfolio Optimization Part II},
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journal = {SSRN Electronic Journal},
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doi = {10.2139/ssrn.4667426},
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doi = {10.2139/ssrn.4540021},
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}
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@book{Meucci2005,
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year = {2005},
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publisher = {Springer Berlin Heidelberg},
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author = {Attilio Meucci},
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title = {Risk and Asset Allocation}
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title = {Risk and Asset Allocation},
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}
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@article{Feng2016,
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pages = {1--231},
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author = {Yiyong Feng and Daniel P. Palomar},
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title = {A Signal Processing Perspective of Financial Engineering},
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journal = {Foundations and Trends{\textregistered} in Signal Processing}
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journal = {Foundations and Trends{\textregistered} in Signal Processing},
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}
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@article{Jorion1986,
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doi = {10.2307/2331042},
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url = {https://doi.org/10.2307/2331042},
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year = {1986},
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month = sep,
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publisher = {{JSTOR}},
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publisher = {JSTOR},
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volume = {21},
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number = {3},
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pages = {279},
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author = {Philippe Jorion},
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title = {Bayes-Stein Estimation for Portfolio Analysis},
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journal = {The Journal of Financial and Quantitative Analysis}
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journal = {The Journal of Financial and Quantitative Analysis},
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}
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@article{Bodnar2019,
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doi = {10.1016/j.jmva.2018.07.004},
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url = {https://doi.org/10.1016\%2Fj.jmva.2018.07.004},
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year = 2019,
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month = {mar},
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year = {2019},
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month = {03},
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publisher = {Elsevier {BV}},
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volume = {170},
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pages = {63--79},
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author = {Taras Bodnar and Ostap Okhrin and Nestor Parolya},
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title = {Optimal shrinkage estimator for high-dimensional mean vector},
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journal = {Journal of Multivariate Analysis}
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journal = {Journal of Multivariate Analysis},
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}
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@article{Ojeda2015,
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pages = {60},
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author = {Ignacio Ojeda},
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title = {Kronecker Square Roots and the Block Vec Matrix},
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journal = {The American Mathematical Monthly}
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journal = {The American Mathematical Monthly},
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}
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@mastersthesis{Yang2019,
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author = {Yang, Mingyu},
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title = {Uncertainty Set Sizes, Sensitivity Analysis, in Robust Portfolio Optimization},
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school = {University of Waterloo},
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year = 2019,
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url={https://www.math.uwaterloo.ca/~hwolkowi/henry/reports/MingyuYangCM-eresearchpaper-printcopy.pdf},
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}
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@Inbook{VanLoan1993,
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author={Van Loan, C. F. and Pitsianis, N.},
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editor={Moonen, Marc S. and Golub, Gene H. and De Moor, Bart L. R.},
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pages={293--314},
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isbn={978-94-015-8196-7},
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doi={10.1007/978-94-015-8196-7\_17},
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url={https://doi.org/10.1007/978-94-015-8196-7\_17}
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}
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@mastersthesis{Yang2019,
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title={Uncertainty Set Sizes, Sensitivity Analysis, in Robust Portfolio Optimization},
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author={Yang, Mingyu},
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year={2019}
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school={University of Waterloo},
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url={https://www.math.uwaterloo.ca/~hwolkowi/henry/reports/MingyuYangCM-eresearchpaper-printcopy.pdf},
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url={https://doi.org/10.1007/978-94-015-8196-7\_17},
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}
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@article{Tutuncu2004,
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number = {4},
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year = {2003},
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pages = {543--556},
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publisher = {INFORMS}
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publisher = {INFORMS},
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}
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@article{Roncalli2012b,
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@article{Roncalli2012b,
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author = {Roncalli, Thierry and Weisang, Guillaume},
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year = {2012},
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month = {09},
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pages = {},
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title = {Risk Parity Portfolios with Risk Factors},
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volume = {16},
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journal = {SSRN Electronic Journal},

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