Robust Portfolio Selection
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Cited by:
- Giuseppe Pandolfo & Carmela Iorio & Roberta Siciliano & Antonio D’Ambrosio, 2020. "Robust mean-variance portfolio through the weighted $$L^{p}$$ L p depth function," Annals of Operations Research, Springer, vol. 292(1), pages 519-531, September.
- La Gubu & Dedi Rosadi & Abdurakhman, 2020. "Robust Mean–Variance Portfolio Selection Using Cluster Analysis: A Comparison between Kamila and Weighted K-Mean Clustering," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(10), pages 1169-1186, October.
- Cédric Perret-Gentil & Maria-Pia Victoria-Feser, 2005. "Robust Mean-Variance Portfolio Selection," FAME Research Paper Series rp140, International Center for Financial Asset Management and Engineering.
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Keywords
INVESTMENTS ; MODELS ; STATISTICAL ANALYSIS ; PRICES;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
Statistics
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