Portfolio optimization when asset returns have the Gaussian mixture distribution
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 185 (2008)
Issue (Month): 3 (March)
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Web page: http://www.elsevier.com/locate/eor
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- Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
- Bhat, Harish S. & Kumar, Nitesh, 2012. "Option pricing under a normal mixture distribution derived from the Markov tree model," European Journal of Operational Research, Elsevier, vol. 223(3), pages 762-774.
- Lioui, Abraham & Poncet, Patrice, 2013. "Optimal benchmarking for active portfolio managers," European Journal of Operational Research, Elsevier, vol. 226(2), pages 268-276.
- Qian, Hang, 2011. "Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model," MPRA Paper 35561, University Library of Munich, Germany.
- Matsui, Kenji, 2010. "Returns policy, new model introduction, and consumer welfare," International Journal of Production Economics, Elsevier, vol. 124(2), pages 299-309, April.
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