Open AccessPortfolio selection based on asymmetric Laplace distribution, coherent risk measure, and expectation-maximization estimation
Author(s) -
Yue Shi,
Chi Tim Ng,
Ka Fai Cedric Yiu
Publication year - 2018
Publication title -
quantitative finance and economics
Language(s) - English
Resource type - Journals
ISSN - 2573-0134
DOI - 10.3934/qfe.2018.4.776
Subject(s) - laplace distribution , laplace transform , skewness , portfolio , selection (genetic algorithm) , mathematics , mathematical optimization , gaussian , portfolio optimization , distribution (mathematics) , expectation–maximization algorithm , normal distribution , econometrics , computer science , statistics , economics , maximum likelihood , mathematical analysis , artificial intelligence , physics , finance , quantum mechanics