Robust optimization of time series momentum portfolios
نویسندگان
چکیده
منابع مشابه
Deciphering robust portfolios
Robust portfolio optimization has been developed to resolve the high sensitivity to inputs of the Markowitz mean-variance model. Although much effort has been put into forming robust portfolios, there have not been many attempts to analyze the characteristics of portfolios formed from robust optimization. We investigate the behavior of robust portfolios by analytically describing how robustness...
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ژورنال
عنوان ژورنال: Brazilian Review of Finance
سال: 2021
ISSN: 1984-5146,1679-0731
DOI: 10.12660/rbfin.v19n1.2021.82045