Computing portfolio risk using Gaussian mixtures and independent component analysis

IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)

Volumn , Issue , 1999, Pages 74-117

  Chin, Elion ^a   Weigend, Andreas S ^a   Zimmerman, Heinz ^a  

^a UNIVERSITY OF ST GALLEN   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; CONVOLUTION; FINANCE; FORECASTING; MATHEMATICAL MODELS; PROBABILITY DENSITY FUNCTION; PROBABILITY DISTRIBUTIONS; STATISTICAL METHODS;

GAUSSIAN MIXTURE MODEL; INDEPENDENT COMPONENT ANALYSIS; NON-NORMAL RETURNS; RISK ESTIMATION;

MARKETING;

EID: 0032678882     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Article

References (23)