Global minimum variance portfolios under uncertainty: a robust optimization approach
نویسندگان
چکیده
منابع مشابه
Linear statistical inference for global and local minimum variance portfolios
Traditional portfolio optimization has been often criticized since it does not account for estimation risk. Theoretical considerations indicate that estimation risk is mainly driven by the parameter uncertainty regarding the expected asset returns rather than their variances and covariances. This is also demonstrated by several numerical studies. The global minimum variance portfolio has been a...
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ژورنال
عنوان ژورنال: Journal of Global Optimization
سال: 2020
ISSN: 0925-5001,1573-2916
DOI: 10.1007/s10898-019-00859-x