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Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models.
Nuerxiati Abudurexiti
Kai He
Dongdong Hu
Svetlozar T. Rachev
Hasanjan Sayit
Ruoyu Sun
Published in:
Ann. Oper. Res. (2024)
Keyphrases
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portfolio selection
mixture model
portfolio optimization
portfolio management
risk measures
em algorithm
robust optimization
gaussian mixture model
financial markets
model selection
density estimation
probabilistic model
generative model
language model
image segmentation
mixture modeling
nonparametric estimation