Tangency portfolio weights under a skew-normal model in small and large dimensions.
Farrukh JavedStepan MazurErik ThorsénPublished in: J. Oper. Res. Soc. (2024)
Keyphrases
- mathematical model
- probabilistic model
- theoretical analysis
- computational model
- clustering algorithm
- case study
- high level
- similarity measure
- neural network
- management system
- experimental data
- formal model
- neural network model
- conceptual model
- statistical model
- theoretical framework
- parameter estimation
- linear combination
- input data
- d objects
- cost function