Robust mean-variance portfolio through the weighted \(L^p\) depth function
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Publication:827128
DOI10.1007/s10479-019-03474-xzbMath1455.91240OpenAlexW2990965643MaRDI QIDQ827128
Antonio D'Ambrosio, Giuseppe Pandolfo, Roberta Siciliano, Carmela Iorio
Publication date: 6 January 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-019-03474-x
outliersweight functionfinancerobust statisticsportfolio selectionout-of-samplestatistical datadepth-based estimators
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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Cites Work
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