Portfolio optimization when asset returns have the Gaussian mixture distribution (Q2464229): Difference between revisions

@@ Property / author @@
+Ian R. C. Buckley
@@ Property / author: Ian R. C. Buckley / rank @@
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+Luis A. Seco
@@ Property / author: Luis A. Seco / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.ejor.2005.03.080
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@@ Property / OpenAlex ID @@
+W2058515446
@@ Property / OpenAlex ID: W2058515446 / rank @@
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@@ Property / cites work @@
+Q4209222
@@ Property / cites work: Q4209222 / rank @@
+Normal rank
@@ Property / cites work @@
+Semi-parametric modelling in finance: theoretical foundations
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@@ Property / cites work @@
+Is mean-variance analysis applicable to hedge funds?
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@@ Property / cites work @@
+Regime switching for dynamic correlations
@@ Property / cites work: Regime switching for dynamic correlations / rank @@
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@@ Property / cites work @@
+Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis.
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@@ Property / cites work @@
+Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
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