Application of Robust Statistics to Asset Allocation Models
Many strategies for asset allocation involve the computation of the expected value and the covariance matrix of the returns of financial instruments. How much of each instrument to own is determined by an attempt to minimize risk — the variance of linear combinations of investments in these financi...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2007-03-01
|
| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/44 |