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 ...
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...
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...
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 ...
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...