Non Gaussian Optimization

In this Quant Corner, we present a simplified allocation process taking into account preference for positive asymmetry.

 We propose an incremental approach to structure this quantitative allocation: after improving the reactivity of the second order model, we add non-Gaussian constraints in the allocation model to take into account preferences for positive asymmetry.

 The challenge here is: are we able to take into account ex-ante numerical estimations of mathematical objects such as co-skewness coefficients - that are known to be very unstable - to improve ex-post performances?

To learn more, read the PDF article below.