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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Fast methods for large-scale non-elliptical portfolio optimization |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Annals of Financial Economics |
| Publisher | World Scientific Publishing Co. Pte. Ltd. |
| Geographical Reach | international |
| ISSN | 2010-4952 |
| Volume | 9 |
| Number | 2 |
| Page Range | 1 - 32 |
| Date | 2014 |
| Abstract Text | 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. |
| Related URLs | |
| Digital Object Identifier | 10.1142/S2010495214400016 |
| Other Identification Number | merlin-id:12540 |
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