Portfolio selection with robust estimation

Operations Research

Volumn 57, Issue 3, 2009, Pages 560-577

  DeMiguel, Victor ^a   Nogales, Francisco J ^b  

^a LONDON BUSINESS SCHOOL   (United Kingdom)

^b UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Economics: econometrics; Finance: portfolio; Investment; Minimum variance; Portfolio choice

Indexed keywords

EMPIRICAL DATA; ESTIMATION ERRORS; MEAN VARIANCE; MINIMUM-VARIANCE; NONLINEAR PROGRAMS; NUMERICAL RESULTS; PORTFOLIO CHOICE; PORTFOLIO OPTIMIZATION; PORTFOLIO SELECTION; ROBUST ESTIMATION; ROBUST ESTIMATORS; SAMPLE COVARIANCE MATRIX; SINGLE-STEP; STABILITY PROPERTIES;

ECONOMICS; ESTIMATION; FINANCIAL DATA PROCESSING; INVESTMENTS; STABILITY;

COVARIANCE MATRIX;

EID: 68149163171     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1080.0566     Document Type: Article

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