Constructing portfolios using stable distributions: The case of S&P 500 sectors exchange-traded funds
Portfolio construction is an important practical problem in finance. In the traditional approach, introduced by Markowitz, one assumes normally distributed returns and constructs a portfolio with a minimum risk (measured by the standard deviation of portfolio returns) for a specified (and minimally...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2022-12-01
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| Series: | Machine Learning with Applications |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2666827022001098 |