Ghent University Academic Bibliography

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Performance-sharing optimization by risk-constrained equity investors

Kris Boudt (UGent) and Mulazim-Ali Khokhar

(2021) FINANCE RESEARCH LETTERS. 38.
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- Journal Article
- A1
Properties of the Margrabe best–of–two strategy to tactical asset allocation

David Ardia, Kris Boudt (UGent) , Stefan Hartmann and Giang Nguyen

(2021) NTERNATIONAL REVIEW OF FINANCIAL ANALYSIS.
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The R package sentometrics to compute, aggregate and predict with textual sentiment

David Ardia, Keven Bluteau (UGent) , Samuel Borms and Kris Boudt (UGent)

(2021) JOURNAL OF STATISTICAL SOFTWARE.
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The effect of velocity sparsity on the performance of cardinality constrained particle swarm optimization

Kris Boudt (UGent) and Chunlin Wan

(2020) OPTIMIZATION LETTERS. 14(3). p.747-758
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- Journal Article
- A1
- open access
Econometrics meets sentiment : an overview of methodology and applications

Andres Algaba (UGent) , David Ardia, Keven Bluteau (UGent) , Samuel Borms and Kris Boudt (UGent)

(2020) JOURNAL OF ECONOMIC SURVEYS. 34(3). p.512-547
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- Journal Article
- A2
- open access
Algorithmic portfolio tilting to harvest higher moment gains

Kris Boudt (UGent) , Dries Cornilly, Frederiek Van Holle and Joeri Willems

(2020) HELIYON. 6(3).
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The variance implied conditional correlation

Andres Algaba, Kris Boudt (UGent) and Steven Vanduffel

(2020) EUROPEAN JOURNAL OF FINANCE. 26(2-3). p.200-222
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Nearest comoment estimation with unobserved factors

Kris Boudt (UGent) , Dries Cornilly and Tim Verdonck

(2020) JOURNAL OF ECONOMETRICS. 217(2). p.381-397
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The minimum regularized covariance determinant estimator

Kris Boudt (UGent) , Peter J Rousseeuw, Steven Vanduffel and Tim Verdonck

(2020) STATISTICS AND COMPUTING. 30(1). p.113-128
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Robust distribution-based winsorization in composite indicators construction

Kris Boudt (UGent) , Valentin Todorov and Wenjing Wang

(2020) SOCIAL INDICATORS RESEARCH. 149. p.375-397

Academic Bibliography

Performance-sharing optimization by risk-constrained equity investors

Properties of the Margrabe best–of–two strategy to tactical asset allocation

The R package sentometrics to compute, aggregate and predict with textual sentiment

The effect of velocity sparsity on the performance of cardinality constrained particle swarm optimization

Econometrics meets sentiment : an overview of methodology and applications

Algorithmic portfolio tilting to harvest higher moment gains

The variance implied conditional correlation

Nearest comoment estimation with unobserved factors

The minimum regularized covariance determinant estimator

Robust distribution-based winsorization in composite indicators construction

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