Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
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Cites work
- scientific article; zbMATH DE number 3244317 (Why is no real title available?)
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Cited in
(29)- Global minimum variance portfolios under uncertainty: a robust optimization approach
- Linear statistical inference for global and local minimum variance portfolios
- Asset allocation with correlation: a composite trade-off
- A bi‐level programming framework for identifying optimal parameters in portfolio selection
- A further analysis of robust regression modeling and data mining corrections testing in global stocks
- Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach
- A unified model for regularized and robust portfolio optimization
- A cost-effective approach to portfolio construction with range-based risk measures
- Robust portfolio optimization
- Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios
- Risk-based strategies: the social responsibility of investment universes does matter
- Robust portfolio optimization: a categorized bibliographic review
- Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
- Robust portfolio optimization
- Estimation of the global minimum variance portfolio in high dimensions
- Robust asset allocation with conditional value at risk using the forward search
- A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation
- Boundaries of the risk aversion coefficient: should we invest in the global minimum variance portfolio?
- Long-run wavelet-based correlation for financial time series
- Large-scale minimum variance portfolio allocation using double regularization
- On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH
- Good deals and benchmarks in robust portfolio selection
- Portfolio selection with robust estimation
- Robust multiobjective portfolio optimization: A minimax regret approach
- Dynamic large financial networks \textit{via} conditional expected shortfalls
- Measuring the unmeasurable: an application of uncertainty quantification to treasury bond portfolios
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
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