Non-Gaussian optimization model for systematic portfolio allocation: How to take advantage of market turbulence?
Papa Momar NdiayePublished in: Risk Decis. Anal. (2011)
Keyphrases
- optimization model
- market data
- optimization process
- portfolio management
- network flow
- resource allocation
- decision making
- factor analysis
- investment strategies
- investment decisions
- sensor placement
- optimal allocation
- distributed resource allocation
- financial data
- electronic markets
- combinatorial auctions
- capacity allocation
- asset allocation
- dynamic allocation
- stock exchange
- budget constraints
- heavy tailed
- portfolio optimization
- stock market
- high dimensional data
- electronic commerce
- non stationary