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• W1996043826 abstract "Simple, fast methods for modeling the portfolio distribution corresponding to a non-elliptical, leptokurtic, asymmetric, and conditionally heteroskedastic set of asset returns are entertained. Portfolio optimization via simulation is demonstrated, and its benefits are discussed. An augmented mixture of normals model is shown to be superior to both standard (no short selling) Markowitz and the equally weighted portfolio in terms of out of sample returns and Sharpe ratio performance." @default.
• W1996043826 created "2016-06-24" @default.
• W1996043826 creator A5051234257 @default.
• W1996043826 date "2014-09-01" @default.
• W1996043826 modified "2023-09-25" @default.
• W1996043826 title "FAST METHODS FOR LARGE-SCALE NON-ELLIPTICAL PORTFOLIO OPTIMIZATION" @default.
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• W1996043826 doi "https://doi.org/10.1142/s2010495214400016" @default.
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