Pages that link to "Item:Q2464229"
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The following pages link to Portfolio optimization when asset returns have the Gaussian mixture distribution (Q2464229):
Displayed 16 items.
- Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets (Q299865) (← links)
- Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield (Q322504) (← links)
- Regime switching volatility calibration by the Baum-Welch method (Q989132) (← links)
- Objective comparisons of the optimal portfolios corresponding to different utility functions (Q1042183) (← links)
- Gains from diversification on convex combinations: a majorization and stochastic dominance approach (Q1044121) (← links)
- Estimating stochastic discount factor models with hidden regimes: applications to commodity pricing (Q1681295) (← links)
- Asset allocation with correlation: a composite trade-off (Q1683161) (← links)
- Tail variance of portfolio under generalized Laplace distribution (Q1731080) (← links)
- Dynamic portfolio optimization under multi-factor model in stochastic markets (Q1929951) (← links)
- Understanding price discovery in interconnected markets: generalized Langevin process approach and simulation (Q2148671) (← links)
- Chance-constrained games with mixture distributions (Q2238757) (← links)
- Option pricing under a normal mixture distribution derived from the Markov tree model (Q2253395) (← links)
- Portfolio selection in a two-regime world (Q2630104) (← links)
- Normal mixture method for stock daily returns over different sub-periods (Q5086161) (← links)
- An EM algorithm for singular Gaussian mixture models (Q5864166) (← links)
- Numerical characteristics and parameter estimation of finite mixed generalized normal distribution (Q5867414) (← links)