Robust strategies for quantitative investment management

MaRDI QIDQ5290285zbMATH OpenFDO

Authors

Publication date 28 April 2006

zbMATH Keywords

quantile regressionrobust modelsquantitative portfolio

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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Cited in

(6)

• scientific article; zbMATH DE number 5164171 (Why is no real title available?)
• Data-driven portfolio management with quantile constraints
• Estimating portfolio conditional returns distribution through style analysis models
• Predictable return distributions
• scientific article; zbMATH DE number 1487967 (Why is no real title available?)
• A further analysis of robust regression modeling and data mining corrections testing in global stocks

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