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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Detaylı Bibliyografya
Yayımlandı:Dyna
Asıl Yazarlar: Daniela Gutiérrez Sepúlveda, Henry Laniado, Santiago Medina Hurtado
Materyal Türü: Artigo
Dil:Inglês
Baskı/Yayın Bilgisi: Universidad Nacional de Colombia 2018
Konular:
Ingeniería
MCD
trimmean
rolling horizon
Robust covariance matrix
and Mahalanobis distance
Online Erişim:https://www.redalyc.org/articulo.oa?id=49658894041
Etiketler: Etiketle
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