Global minimum variance portfolio optimisation under some model risk : a robust regression-based approach
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
|
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 |
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