Portfolio optimization when asset returns have the Gaussian mixture distribution (Q2464229)
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scientific article; zbMATH DE number 5219132
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Portfolio optimization when asset returns have the Gaussian mixture distribution |
scientific article; zbMATH DE number 5219132 |
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Portfolio optimization when asset returns have the Gaussian mixture distribution (English)
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10 December 2007
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mixture of normals distribution
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Gaussian mixture distribution
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portfolio optimization
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market distress
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hedge fund portfolio
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Sharpe ratio
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lower partial moment
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efficient frontier
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Hodges' modified Sharpe ratio
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exponential utility
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correlation switching
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regime switching
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asset allocation
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commodity trading advisor
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probability of shortfall
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distress sensitivities
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fund of funds
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0.7857045531272888
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0.7778595685958862
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0.7762715816497803
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0.7747941613197327
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0.7732619643211365
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