Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization

DOI10.1524/stnd.2008.0916zbMath1153.62065OpenAlexW2014076567MaRDI QIDQ5502854

Vincent Guigues

Publication date: 9 January 2009

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/e714657c619ad416d5435611f15a7d5bb4d8c133

zbMATH Keywords

stochastic optimizationvalue-at-riskadaptive estimationportfolio managementweakly stationary process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Stochastic programming (90C15)

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