Is there an efficient and commonly used optimization method for "more complex" investment strategies. For instance, say you have a function $f(X_1,...,X_n,c,v)$ where the $X_k$'s are your random ...
I'd like to do a portfolio optimization of a set of ETF's but want to avoid traditional problems with normality assumptions in returns etc. Are there techniques that let me sample 'draws' from the ...
Let's say we have a predictive distribution of expected returns for N assets. The distribution is not normal. We can interpret the dispersion in the distribution as reflection of our uncertainty (or ...