Robust mean-variance portfolio through the weighted $$L^{p}$$ depth function
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
http://link.springer.com/content/pdf/10.1007/s10479-019-03474-x.pdf
Reference33 articles.
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3. DeMiguel, V., & Nogales, F. J. (2009). Portfolio selection with robust estimation. Operations Research, 57(3), 560–577.
4. Donoho, D. L., & Gasko, M. (1992). Breakdown properties of location estimates based on halfspace depth and projected outlyingness. The Annals of Statistics, 20, 1803–1827.
5. Efron, B., & Tibshirani, R. J. (1994). An introduction to the bootstrap. Boca Raton: CRC Press.
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