Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach (Q319341)
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scientific article; zbMATH DE number 6633507
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach |
scientific article; zbMATH DE number 6633507 |
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Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach (English)
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6 October 2016
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global minimum variance portfolio
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model risk
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parameter uncertainty
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robust least squares
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robust portfolio
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