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Quantitative Finance Volume 13, 2013 - Issue 1
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Optimizing a basket against the efficient market hypothesis

Frédéric Abergel Chaire de finance quantitative, Laboratoire MAS, Grande voie des vignes, École Centrale Paris, F-92290 Châtenay-Malabry, France
&
Mauro Politi Chaire de finance quantitative, Laboratoire MAS, Grande voie des vignes, École Centrale Paris, F-92290 Châtenay-Malabry, France; SSRI and Department of Economics and Business, International Christian University, 3-10-2 Osawa, Mitaka, Tokyo 181-8585, Japan; Basque Center for Applied Mathematics, Bizkaia Technology Park, Building 500, E48160 Derio, SpainCorrespondence[email protected]
Pages 13-23 | Received 27 Jun 2010, Accepted 05 Jul 2012, Published online: 14 Dec 2012
 
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Acknowledgements

F.A. would like to acknowledge that the idea of optimizing a basket of stocks with respect to statistical properties arose from a collaboration with Laurent Jaillet while they were colleagues at CAI Cheuvreux.

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