The efficient frontiers of mean-variance portfolio rules under distribution misspecification.

Andrew Paskaramoorthy Tim Gebbie Terence L. van Zyl

Published in: FUSION (2021)

Keyphrases

portfolio selection
genetic algorithm
lightweight
portfolio optimization
decision making
computationally expensive
real time
information systems
expert systems
linear programming
background knowledge
data distribution
human experts
rule sets
gaussian distribution
power law