Optimal portfolio selection in the presence of non-normally distributed asset returns

Optimal portfolio selection

academic-thimble

In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require estimates for variance-co-variance parameters along with estimates for higher-order moments and co-moments of the return distribution.

This is a formidable challenge that severely exacerbates the dimensionality problem already present with mean variance analysis.

Recent research*1 extends the existing academic literature, mostly focusing on the co-variance matrix by introducing improved estima

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