Application of robust statistics to asset allocation models
From MaRDI portal
Recommendations
- Robust mean-variance portfolio through the weighted L^p depth function
- Robust estimation of efficient mean-variance frontiers
- Robust portfolio asset allocation and risk measures
- Robust portfolio asset allocation and risk measures
- Robust dependence modeling for high-dimensional covariance matrices with financial applications
Cited in
(21)- Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
- Robust dependence modeling for high-dimensional covariance matrices with financial applications
- Robust estimation of efficient mean-variance frontiers
- Optimal risk transfer under quantile-based risk measurers
- Ranking of investment funds: acceptability versus robustness
- Sparse and robust normal and t-portfolios by penalized L_q-likelihood minimization
- Sensitivity analysis and robust regression in investment performance evaluation
- Robust portfolio optimization with a hybrid heuristic algorithm
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- Evaluation of outlier detection method performance in symmetric multivariate distributions
- Robust regression for capital asset pricing model using Bayesian approach
- Portfolio construction by mitigating error amplification: the bounded-noise portfolio
- A robust statistical approach to select adequate error distributions for financial returns
- Robust strategies for quantitative investment management
- Robust portfolio asset allocation and risk measures
- Robust portfolio asset allocation and risk measures
- Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints
- Distributionally Favorable Optimization: A Framework for Data-Driven Decision-Making with Endogenous Outliers
- Robust asset allocation with conditional value at risk using the forward search
- Minimum covariance determinant and extensions
- Robust mean-variance portfolio through the weighted L^p depth function
This page was built for publication: Application of robust statistics to asset allocation models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5429818)