Robust estimation of efficient mean-variance frontiers

DOI10.1007/s11634-010-0082-3zbMath1284.62200OpenAlexW2064490589MaRDI QIDQ2442794

Fabrizio Laurini, Luigi Grossi

Publication date: 1 April 2014

Published in: Advances in Data Analysis and Classification. ADAC (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11634-010-0082-3

zbMATH Keywords

forward searchefficient frontiersportfolio allocationmultivariate outlier detection

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (1)

Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints

Uses Software

• QRM

Cites Work

• Robust portfolio optimization
• Portfolio selection with uncertain exit time: a robust CVaR approach
• A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity
• Robust bivariate boxplots and multiple outlier detection.
• Computing efficient frontiers using estimated parameters
• Exploring multivariate data with the forward search.
• Robust diagnostic regression analysis
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• The forward search: theory and data analysis
• Finding an Unknown Number of Multivariate Outliers
• Portfolio Selection with Robust Estimation
• Fast Very Robust Methods for the Detection of Multiple Outliers
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