Predicting Stock and Portfolio Returns Using Mixtures of Truncated Exponentials.
Barry R. CobbRafael RumíAntonio SalmerónPublished in: ECSQARU (2009)
Keyphrases
- transaction costs
- decision making
- stock market
- sharpe ratio
- mixtures of gaussians
- portfolio selection
- real time
- gaussian mixture
- information systems
- neural network
- mixture model
- probability distribution
- case study
- parametric models
- information retrieval
- portfolio management
- stock trading
- dow jones
- database
- portfolio theory