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A Bayesian information criterion for portfolio selection.
Wei Lan
Hansheng Wang
Chih-Ling Tsai
Published in:
Comput. Stat. Data Anal. (2012)
Keyphrases
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portfolio selection
bayesian information criterion
model selection
information criterion
mixture model
gaussian mixture model
robust optimization
selection criterion
akaike information criterion
financial markets
machine learning
decision making
maximum likelihood