Double-Edged Sword of Diversification: Commodities and African Equity Indices in Robust vs. Optimal Portfolio Strategies

This study empirically investigates a central tension in quantitative finance: the divergence between theoretically optimal and robust portfolio construction under real-world estimation uncertainty. Using a dynamic, time-varying optimization framework, we compare the performance of three distinct st...

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Autori principali:	Anaclet K. Kitenge, John W. M. Mwamba, Jules C. Mba
Natura:	Artigo
Lingua:	Inglês
Pubblicazione:	MDPI AG 2026-03-01
Serie:	Econometrics
Soggetti:	portfolio optimization robustness estimation error commodities African financial market indices risk decomposition
Accesso online:	https://www.mdpi.com/2225-1146/14/1/15
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