Paolella, Marc (2014). Fast methods for large-scale non-elliptical portfolio optimization. Annals of Financial Economics, 9(2):1-32.
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.
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.
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 03 Faculty of Economics > Department of Banking and Finance |
| Dewey Decimal Classification: | 330 Economics |
| Language: | English |
| Date: | September 2014 |
| Deposited On: | 18 Jan 2016 14:12 |
| Last Modified: | 14 Feb 2018 23:32 |
| Publisher: | World Scientific Publishing Co. Pte. Ltd. |
| ISSN: | 2010-4952 |
| OA Status: | Closed |
| Publisher DOI: | https://doi.org/10.1142/S2010495214400016 |
| Related URLs: | http://www.worldscientific.com/doi/abs/10.1142/S2010495214400016?journalCode=afe (Publisher) |
| Other Identification Number: | merlin-id:12540 |
Paolella, Marc