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Resampled Efficient Frontier Integration for MOEAs
Mean-variance portfolio optimization is subject to estimation errors for asset returns and covariances. The search for robust solutions has been traditionally tackled using resampling strategies that offer alternatives to reference sets of returns or risk aversion parameters, which are subsequently...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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MDPI
2021
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8066266/ https://www.ncbi.nlm.nih.gov/pubmed/33807465 http://dx.doi.org/10.3390/e23040422 |