Portfolio optimization when asset returns have the Gaussian mixture distribution

Portfolio optimization when asset returns have the Gaussian mixture distribution

Buckley, Ian, (2008)

HEDGE FUND PERFORMANCE - A FUND OF HEDGE FUNDS UNDER REGIME SWITCHING

Saunders, David, (2013)

Investment management - Optimising omega - Optimising a portfolio's omega generally requires non-linear optimisation methods. The authors show that, under suitable conditions, a simple change of variables transforms the problem into a linear program that is much more readily solved.

Mausser, Helmut, (2006)