Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach (Q319341)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach |
scientific article; zbMATH DE number 6633507
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach |
scientific article; zbMATH DE number 6633507 |
Statements
Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach (English)
0 references
6 October 2016
0 references
global minimum variance portfolio
0 references
model risk
0 references
parameter uncertainty
0 references
robust least squares
0 references
robust portfolio
0 references
0 references
0 references
0.8800715804100037
0 references
0.8309245705604553
0 references
0.828930139541626
0 references
0.8054047226905823
0 references
0.7985295653343201
0 references
