The presence of outliers in financial asset returns is a frequently occurring phenomenon which may lead to unreliable mean-variance optimized portfolios. This fact is due to the unbounded influence that outliers can have on the mean returns and covariance estimators that are inputs in the optimization procedure. In this paper we present robust estimators of mean and covariance matrix obtained b...

At the Faculty of Economics at K.U.Leuven, Belgium, a customized version of ELP, based on an original version developed at the Trinity College in Dublin in 1999, has been used in English for Special (Business) Purposes since 2000. Since 2006, this version has been digitalized. Other changes were emerging as well such as new course conditions for LSP courses in Business English due to Bachelor-M...

the markowitz issue of optimization can’t be solved by precise mathematical methods such as second order schematization, when real world condition and limitations are considered. on the other hand, most managers prefer to manage a small portfolio of available assets in place of a huge portfolio. it can be analogized to cardinal constrains, that is, constrains related to minimum and maximum curr...

We focus on the pairwise correlations of Japanese stock returns to study their correlation dynamics empirically. Two types of reduced size sample portfolios are created to observe the changes in conditional correlation: a set of individual stock portfolios created by using a network-based clustering algorithm and a single portfolio created from the mean return indexes of the individual sample p...