Zurich, Sep 2012 - Portfolio Selection

Yohan Chalabi has finished his PhD Thesis "New Directions in Statistical Distributions, Parametric Modeling and Portfolio Selection" in the Econophysics Group of Diethelm Würtz at ETH Zurich. The work was supported by Finance Online and Rmetrics Association Zurich.

In his thesis he was working on three topics, (i) flexible distribution modeling with the generalized lambda distribution, (ii) robust estimation with the weighted trimmed likelihood estimator, and (ii) portfolio optimization based on divergence measures.

You can download a copy fo the Thesis at http://dx.doi.org/10.3929/ethz-a-007599140.