A Robust Statistics Approach to Minimum Variance Portfolio Optimization

DOI10.1109/TSP.2015.2474298zbMath1395.91517arXiv1503.08013MaRDI QIDQ4580987

Romain Couillet, Liusha Yang, Matthew R. McKay

Publication date: 22 August 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.08013

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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