Portfolio optimization when asset returns have the Gaussian mixture distribution.
Ian BuckleyDavid SaundersLuis A. SecoPublished in: Eur. J. Oper. Res. (2008)
Keyphrases
- sharpe ratio
- portfolio optimization
- mixture distribution
- normal distribution
- portfolio management
- em algorithm
- statistical model
- generalized gaussian
- portfolio selection
- gaussian mixture model
- problems involving
- stock market
- risk management
- factor analysis
- robust optimization
- stock exchange
- optimization methods
- bi objective
- stock price
- expectation maximization
- trading strategies
- probability distribution
- machine learning
- standard deviation
- maximum likelihood
- decision support system
- feature vectors
- bayesian networks
- face recognition