Dries Cornilly

TL;DR: In this article, the authors proposed unbiased consistent estimators for the MSE loss function and include the possibility of having multiple target matrices, which are used in a portfolio application to find that the proposed shrinkage coskewness estimators are useful in mean-variance skewness efficient portfolio allocation of hedge funds.

TL;DR: The usefulness of portfolio tilting is shown to be applied to the equally-weighted, equal-risk-contribution and maximum diversification portfolios in a UCITS-compliant asset allocation setting.

TL;DR: In this article, a minimum distance estimator for the higher-order comoments of a multivariate distribution exhibiting a lower dimensional latent factor structure was proposed, and the influence function of the proposed estimator was derived and proved its consistency and asymptotic normality.

TL;DR: In this paper, the problem of deriving upper bounds for strictly concave distortion risk measures on moment spaces is reduced to a parametric optimization problem, and the sharp upper bound can be obtained when the first moment and any other higher moment are fixed.

TL;DR: In this article, the authors proposed unbiased estimators, using multivariate k-statistics and polykays, for the MSE loss function and by including the possibility of having multiple target matrices.