Portfolio optimization when asset returns have the Gaussian mixture distribution
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| Title: | Portfolio optimization when asset returns have the Gaussian mixture distribution |
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| Authors: | Buckley, Ian1, ian.buckley@kcl.ac.uk, Saunders, David2, dsaunders@uwaterloo.ca, Seco, Luis3, seco@math.toronto.edu |
| Source: | European Journal of Operational Research; Mar2008, Vol. 185 Issue 3, p1434-1461, 28p |
| Database: | Applied Science & Technology Source |
| ISSN: | 03772217 |
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| DOI: | 10.1016/j.ejor.2005.03.080 |
