Fast Methods For Large-Scale Non-Elliptical Portfolio Optimization
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KeywordsExpected shortfall; GARCH; mixture distributions; portfolio allocation; shrinkage estimation; simulation; weighted likelihood; C51; C53; G11; G17;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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