Non-Gaussian optimization model for systematic portfolio allocation: How to take advantage of market turbulence? (Q3119591)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Non-Gaussian optimization model for systematic portfolio allocation: How to take advantage of market turbulence? |
scientific article |
Statements
Non-Gaussian optimization model for systematic portfolio allocation: How to take advantage of market turbulence? (English)
0 references
12 March 2019
0 references
Markowitz optimization
0 references
semi-definite least square
0 references
positive asymmetry
0 references
convex relaxation
0 references
