Christophe Chorro

According to our database, Christophe Chorro authored at least 3 papers in 2020.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2020

Improving portfolios global performance using a cleaned and robust covariance matrix estimate.

Emmanuelle Jay, Thibault Soler, Eugénie Terreaux, Jean Philippe Ovarlez, Frédéric Pascal, Philippe de Peretti, Christophe Chorro

Soft Comput., 2020

Option valuation with IG-GARCH model and a U-shaped pricing kernel.

Christophe Chorro, Rahantamialisoa H. Fanirisoa

Soft Comput., 2020

Robust Covariance Matrix Estimation and Portfolio Allocation: The Case of Non-Homogeneous Assets.

Emmanuelle Jay, Thibault Soler, Jean Philippe Ovarlez, Philippe de Peretti, Christophe Chorro

Proceedings of the 2020 IEEE International Conference on Acoustics, 2020