2011
DOI: 10.1007/s10100-011-0219-2
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Portfolio optimization with serially correlated, skewed and fat tailed index returns

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Cited by 5 publications
(3 citation statements)
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“…An interesting example which combines parametric modeling(log normal) of portfolio distribution with goal programming is (Chang et al 2008a). (Glawischnig & Seidl 2013), Jondeau & Rockinger (2006) are examples of nonparametric approach to portfolio optimization in higher moments since no distribution is assumed. The problem of skewness term in the optimization is that it makes the optimization a non-convex problem and therefore not tractable.…”
Section: Parametric and Nonparametric Modelingmentioning
confidence: 99%
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“…An interesting example which combines parametric modeling(log normal) of portfolio distribution with goal programming is (Chang et al 2008a). (Glawischnig & Seidl 2013), Jondeau & Rockinger (2006) are examples of nonparametric approach to portfolio optimization in higher moments since no distribution is assumed. The problem of skewness term in the optimization is that it makes the optimization a non-convex problem and therefore not tractable.…”
Section: Parametric and Nonparametric Modelingmentioning
confidence: 99%
“…4! (Glawischnig & Seidl 2013) has used an iterative approach to solve this objective function without using polynomial goal programming(PGP). They start with λ equal to twenty and then reduce it in each step until two to avoid short selling of more than one hundred percent.…”
Section: Introductionmentioning
confidence: 99%
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