Forward-looking portfolio selection with multivariate non-Gaussian models
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Publication:5139258
DOI10.1080/14697688.2020.1733057zbMath1454.91212OpenAlexW3018632624MaRDI QIDQ5139258
Gian Luca Tassinari, Michele Leonardo Bianchi
Publication date: 7 December 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2020.1733057
portfolio optimizationtime-changed Brownian motionnormal mean-variance mixturesmultivariate non-Gaussian processesportfolio risk measures
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