Author/Authors :
Ian Buckley، نويسنده , , B. David Saunders، نويسنده , , Luis Seco، نويسنده ,
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
