Add Exponential Utility Objective and Risk Measures - Githubissues

andrewrosemberg / PortfolioOpt.jl

Portfolio optimization

MIT License

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Add Exponential Utility Objective and Risk Measures #15

Open andrewrosemberg opened 1 year ago

andrewrosemberg commented 1 year ago

Compatible with interesting distributions:

[ ] Gaussian Mixture (ref)
[ ] Skewed Student t (ref)

More references: