A mixture of Gaussians approach to mathematical portfolio oversight: the EF3M algorithm

DOI10.1080/14697688.2013.861075zbMath1308.91185OpenAlexW3123208606MaRDI QIDQ5245357

Marcos López de Prado, Matthew Foreman

Publication date: 8 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.861075

zbMATH Keywords

EM algorithmkurtosismaximum likelihoodskewnessmoment matchingmixture of Gaussians

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Problems related to evolution (92D15) Financial applications of other theories (91G80) Portfolio theory (91G10)

Uses Software

• PRMLT

Cites Work

• Unnamed Item
• Unnamed Item
• Modeling risk in arbitrage strategies using finite mixtures§
• Statistical analysis of finite mixture distributions
• Parameter estimation for finite mixtures of uniform distributions
• Unit Roots, Cointegration, and Structural Change
• AFFINE MODELS WITH STOCHASTIC MARKET PRICE OF RISK
• Estimating the components of a mixture of normal distributions

This page was built for publication: A mixture of Gaussians approach to mathematical portfolio oversight: the EF3M algorithm