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Efficient and Scalable Parametric High-Order Portfolios Design via the Skew-$t$ Distribution.

Xiwen WangRui ZhouJiaxi YingDaniel P. Palomar
Published in: IEEE Trans. Signal Process. (2023)
Keyphrases
  • high order
  • higher order
  • pairwise
  • lower order
  • design process
  • low order
  • multiscale
  • user interface
  • probability distribution
  • highly scalable
  • fourth order
  • bayesian logistic regression