Portfolio management with robustness in both prediction and decision : A mixture model based learning approach

@inproceedings{Zhu2016PortfolioMW,
  title={Portfolio management with robustness in both prediction and decision : A mixture model based learning approach},
  author={Shushang Zhu and Minjie Fan and Duan Li},
  year={2016}
}
We develop in this paper a novel portfolio selection framework with a feature of double robustness in both return distribution modeling and portfolio optimization. While predicting the future return distributions always represents the most compelling challenge in investment, any underlying distribution can be always well approximated by utilizing a mixture distribution, if we are able to ensure that the component list of a mixture distribution includes all possible distributions corresponding… CONTINUE READING