A mixture of Gaussians approach to mathematical portfolio oversight: the EF3M algorithm

Author： López de Prado Marcos   Foreman Matthew D.  

Publisher： Routledge Ltd

ISSN： 1469-7688

Source： Quantitative Finance, Vol.14, Iss.5, 2014-05, pp. : 913-930

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Related content

A simple parallel algorithm for large-scale portfolio problems

By Smimou Kamal   Thulasiram Ruppa K.  

The Journal of Risk Finance Incorporating Balance Sheet, Vol. 11, Iss. 5, 2010-11 ,pp. : 481-495

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

A geometric approach to portfolio optimization in models with transaction costs

By Kabanov Yuri  

Finance and Stochastics, Vol. 8, Iss. 2, 2004-05 ,pp. : 207-227

Springer Publishing Company

Access to resources Recommend Favorite

The zero-capital approach to portfolio enhancement and overlay management

By Bowden Roger  

Quantitative Finance, Vol. 3, Iss. 4, 2003-08 ,pp. : 251-261

Routledge Ltd

Access to resources Recommend Favorite

Portfolio allocation and the investment horizon: a multiscaling approach

By Kim Sangbae   In Francis  

Quantitative Finance, Vol. 10, Iss. 4, 2010-04 ,pp. : 443-453

Routledge Ltd

Access to resources Recommend Favorite

An artificial intelligence approach to portfolio selection and management

By Abdelazim Hazem Y.   Wahba Khaled  

International Journal of Financial Services Management, Vol. 1, Iss. 2-3, 2006-05 ,pp. : 243-254

Inderscience Publishers

Access to resources Recommend Favorite