Title of article
Portfolio optimization when asset returns have the Gaussian mixture distribution
Author/Authors
Ian Buckley، نويسنده , , B. David Saunders، نويسنده , , Luis Seco، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
28
From page
1434
To page
1461
Keywords
Gaussian mixture distribution , Market distress , Portfolio optimization , Sharpe ratio , Hodges’ modified Sharpe ratio , Lower partial moment , Efficient frontier , Exponential utility , Regimeswitching , Correlation switching , Asset allocation , Commodity trading advisor , Distress sensitivities , Probability of shortfall , Mixture of normals distribution , Fund of funds , Hedge fund portfolio
Journal title
European Journal of Operational Research
Serial Year
2008
Journal title
European Journal of Operational Research
Record number
217389
Link To Document