The purpose of this article is to assess whether correct application of robust estimators in construction of minimum variance portfolios' (MVP) allows to achieve better investment results in comparison with portfolios defined using classical MLE estimators. Theoretical robust portfolios...

The purpose of this article is to assess whether correct application of robust estimators in construction of minimum variance portfolios' (MVP) allows to achieve better investment results in comparison with portfolios defined using classical MLE estimators. Theoretical robust portfolios...

Appropriate selection of portfolio components and determining their weights have a significant influence on the later performance of the investor. The classical method of calculating weights of individual components in mean variance portfolios is based on sample mean and sample covariance...