Global minimum variance portfolio optimisation under some model risk : a robust regression-based approach
Bertrand Maillet; Sessi Tokpavi; Benoit Vaucher
| Year of publication: |
2015
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|---|---|
| Authors: | Maillet, Bertrand ; Tokpavi, Sessi ; Vaucher, Benoit |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 244.2015, 1 (1.7.), p. 289-299
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| Subject: | Global minimum variance portfolio | Model risk | Parameter uncertainty | Robust least squares | Robust portfolio | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Risiko | Risk | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010531938