Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach (Q319341): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 90C90 / rank | |||
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| Property / zbMATH DE Number: 6633507 / rank | |||
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global minimum variance portfolio | |||
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model risk | |||
| Property / zbMATH Keywords: model risk / rank | |||
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parameter uncertainty | |||
| Property / zbMATH Keywords: parameter uncertainty / rank | |||
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robust least squares | |||
| Property / zbMATH Keywords: robust least squares / rank | |||
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robust portfolio | |||
| Property / zbMATH Keywords: robust portfolio / rank | |||
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Revision as of 01:38, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach |
scientific article |
Statements
Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach (English)
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6 October 2016
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global minimum variance portfolio
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model risk
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parameter uncertainty
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robust least squares
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robust portfolio
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