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Robust estimation of the covariance matrix for the optimal selection of investment portfolios
The selection of portfolios under the Media-Variance (M-V) model work bad when it is exposed to the presence of atypical data that generate error estimation of the parameters In order to minimize this estimation error, we investigate new robust methodologies and their financial performance in terms...
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| 出版年: | Dyna |
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| 主要な著者: | , , |
| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
Universidad Nacional de Colombia
2018
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| 主題: | |
| オンライン･アクセス: | https://www.redalyc.org/articulo.oa?id=49658894041 |
| タグ: |
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