Sensitivity analysis and robust regression in investment performance evaluation

DOI10.1080/00207729408926576zbMATH Open0531.90003OpenAlexW2005678934MaRDI QIDQ3313558FDOQ3313558

Authors: Jacques A. Schnabel, Oded Berman, Eytan Modiano 

Publication date: 1984

Published in: International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207729408926576

Recommendations

• Econometric applications of high-breakdown robust regression techniques
• Robust estimation of efficient mean-variance frontiers
• A performance-based assessment of robust regression methods
• scientific article; zbMATH DE number 1488346
• Application of robust statistics to asset allocation models

zbMATH Keywords

sensitivity analysisfinancerobust regressionleast absolute residualsJensen's measuremeasuring the performance of investment portfoliossystematic risk estimates

Mathematics Subject Classification ID

Linear inference, regression (62J99) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• Title not available (Why is that?)

Cited In (3)

• Optimality criteria for comparing efficient portfolios
• Title not available (Why is that?)
• A further analysis of robust regression modeling and data mining corrections testing in global stocks

This page was built for publication: Sensitivity analysis and robust regression in investment performance evaluation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3313558)