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102
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EOR
2008
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EOR 2008
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Portfolio optimization when asset returns have the Gaussian mixture distribution
15 years 3 months ago
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www.risklab.ca
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 ...
Ian Buckley, David Saunders, Luis Seco
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