Fast methods for large-scale non-elliptical portfolio optimization

Marc S. Paolella

Year of publication:	2014
Authors:	Paolella, Marc S.
Published in:	Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 9.2014, 2, p. 1-32
Subject:	Expected shortfall \| GARCH \| mixture distributions \| portfolio allocation \| shrinkage estimation \| simulation \| weighted likelihood \| Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Simulation \| Schätztheorie \| Estimation theory \| ARCH-Modell \| ARCH model \| Statistische Verteilung \| Statistical distribution

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