PAOLELLA, MARC S. - In: Annals of Financial Economics (AFE) 09 (2014) 02, pp. 1440001-1
Simple, fast methods for modeling the portfolio distribution corresponding to a non-elliptical, leptokurtic, asymmetric, and conditionally heteroskedastic set of asset returns are entertained. Portfolio optimization via simulation is demonstrated, and its benefits are discussed. An augmented...