Before revision:  On real data, experiments illustrate that our proposed optimisation method produces higher risk-adjusted returns than mean variance portfolio optimisation. The predictive distribution is superior in every measure  , producing a higher mean, lower standard deviation and less kurtosis.
After revision:  On real data, experiments illustrate that our proposed optimisation method produces higher risk-adjusted returns than mean-variance portfolio optimization. Moreover, the predictive distribution is superior in every measure , producing a higher mean, lower standard deviation and less kurtosis.