Portfolio optimisation using alternative risk measures - Lorimer, Douglas Austen; van Schalkwyk, Cornelis Hendrik; Szczygielski, Jan Jakub (Finance research letters, 2024)
Keywords: Exponentially weighted moving average; Forecasting; Portfolio optimisation; Returns; Risk measures; Sharpe ratio; Sharpe ratio; Returns; Exponentially weighted moving average; Forecasting; Risk measures; Portfolio optimisation