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Robust Portfolio Optimization Using Pseudodistances
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 optimizati...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2015
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4607458/ https://www.ncbi.nlm.nih.gov/pubmed/26468948 http://dx.doi.org/10.1371/journal.pone.0140546 |