FAST METHODS FOR LARGE-SCALE NON-ELLIPTICAL PORTFOLIO OPTIMIZATION
Year of publication: |
2014
|
---|---|
Authors: | PAOLELLA, MARC S. |
Published in: |
Annals of Financial Economics (AFE). - World Scientific Publishing Co. Pte. Ltd., ISSN 2010-4960. - Vol. 09.2014, 02, p. 1440001-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Expected shortfall | GARCH | mixture distributions | portfolio allocation | shrinkage estimation | simulation | weighted likelihood |
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