Robust Mean-Variance Portfolio Selection
ContributorsPerret-Gentil, Cédric; Victoria-Feser, Maria-Pia
Number of pages45
PublisherGenève
Collection
- Cahiers du département d'économétrie; 2003.02
Publication date2003
Abstract
Keywords
- Mean-variance efficient frontier
- Outliers
- Model risk
- Robust estimation
Citation (ISO format)
PERRET-GENTIL, Cédric, VICTORIA-FESER, Maria-Pia. Robust Mean-Variance Portfolio Selection. 2003
Main files (1)
Report
![accessLevelPublic](assets/images/access-level-free.png)
Identifiers
- PID : unige:6625