Robust Portfolio Optimization Using Pseudodistances
نویسندگان
چکیده
منابع مشابه
Robust Portfolio Optimization Using Pseudodistances
The presence of outliers in financial asset returns is a frequently occurring phenomenon which may lead to unreliable mean-variance optimized portfolios. This fact is due to the unbounded influence that outliers can have on the mean returns and covariance estimators that are inputs in the optimization procedure. In this paper we present robust estimators of mean and covariance matrix obtained b...
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ژورنال
عنوان ژورنال: PLOS ONE
سال: 2015
ISSN: 1932-6203
DOI: 10.1371/journal.pone.0140546