5 search results - page 1 / 1 » Portfolio optimization when asset returns have the Gaussian ... |
EOR
2008
13 years 4 months ago
2008
Abstract. Portfolios of assets whose returns have the Gaussian mixture distribution are optimized in the static setting to find portfolio weights and efficient frontiers using the ...
WSC
2007
13 years 7 months ago
2007
Historical data suggest that returns of stocks and indices are not distributed independent and identically Normal, as is commonly assumed. Instead, returns of financial assets are...
MANSCI
2010
13 years 3 months ago
2010
A key result of the Capital Asset Pricing Model (CAPM) is that the market portfolio— the portfolio of all assets in which each asset’s weight is proportional to its total mark...
IOR
2006
13 years 4 months ago
2006
The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice ...
NIPS
2003
13 years 6 months ago
2003
When we learn a new motor skill, we have to contend with both the variability inherent in our sensors and the task. The sensory uncertainty can be reduced by using information abo...