Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
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Publication:319341
DOI10.1016/J.EJOR.2015.01.010zbMATH Open1346.91215OpenAlexW2288682277MaRDI QIDQ319341FDOQ319341
Authors: Bertrand Maillet, Sessi Tokpavi, Benoit Vaucher 
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.01.010
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global minimum variance portfolioparameter uncertaintymodel riskrobust least squaresrobust portfolio
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Cited In (29)
- Asset allocation with correlation: a composite trade-off
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Risk-based strategies: the social responsibility of investment universes does matter
- Robust asset allocation with conditional value at risk using the forward search
- Dynamic large financial networks \textit{via} conditional expected shortfalls
- A cost-effective approach to portfolio construction with range-based risk measures
- An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios
- A unified model for regularized and robust portfolio optimization
- Measuring the unmeasurable: an application of uncertainty quantification to treasury bond portfolios
- Long-run wavelet-based correlation for financial time series
- Good deals and benchmarks in robust portfolio selection
- Robust multiobjective portfolio optimization: A minimax regret approach
- Robust portfolio optimization: a categorized bibliographic review
- A bi‐level programming framework for identifying optimal parameters in portfolio selection
- Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach
- A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation
- Robust portfolio optimization
- Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization
- Portfolio selection with robust estimation
- Boundaries of the risk aversion coefficient: should we invest in the global minimum variance portfolio?
- Estimation of the global minimum variance portfolio in high dimensions
- On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH
- Linear statistical inference for global and local minimum variance portfolios
- Large-scale minimum variance portfolio allocation using double regularization
- Global minimum variance portfolios under uncertainty: a robust optimization approach
- A further analysis of robust regression modeling and data mining corrections testing in global stocks
- Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
- Robust portfolio optimization
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
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