Efficient and Scalable Parametric High-Order Portfolios Design via the Skew-$t$ Distribution

Xiwen Wang, Rui Zhou, Jiaxi Ying, Daniel P. Palomar. Efficient and Scalable Parametric High-Order Portfolios Design via the Skew-$t$ Distribution. IEEE Transactions on Signal Processing, 71:3726-3740, 2023. [doi]

Abstract

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