Matthew Foreman

University of California, Irvine

Professor of Mathematics

Mathematics Department

Irvine, CA 62697-3125

United States

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Scholarly Papers (1)

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A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm

Quantitative Finance, 2013, Forthcoming, Johnson School Research Paper Series No. 39-2011
Number of pages: 34 Posted: 22 Sep 2011 Last Revised: 27 Oct 2013
Marcos Lopez de Prado and Matthew Foreman
Cornell University - Operations Research & Industrial Engineering and University of California, Irvine
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Abstract:

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Skewness, Kurtosis, Mixture of Gaussians, Moment Matching, Maximum Likelihood, EM algorithm