Kitt, R.; Kalda, J. - In: The European Physical Journal B - Condensed Matter and … 50 (2006) 1, pp. 141-145
The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of extreme non-Gaussian drawdowns of the portfolio value. The...