Robust estimation of covariance and its application to portfolio optimization

Author:

Huo Lijuan,Kim Tae-Hwan,Kim Yunmi

Publisher

Elsevier BV

Subject

Finance

Reference26 articles.

1. Adrian, T., Brunnermeier, M.K., 2008. Hedge Fund Tail Risk. Discussion Paper. FRB of New York & Princeton University.

2. The dark side of global integration: increasing tail dependence;Beine;Journal of Banking & Finance,2010

3. On the sensitivity of mean-variance efficient portfolios to changes in asset means: some analytical and computational results;Best;The Review of Financial Studies,1991

4. Investment;Bodie,2009

5. Robust estimation of skewness and kurtosis in distributions with infinite higher momoents;Bonato;Finance Research Letters,2011

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