Robust estimation of efficient mean–variance frontiers
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- Bartosz Kaszuba, 2012. "Empirical Comparison of Robust Portfolios’ Investment Effects," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(1), pages 047-061, June.
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KeywordsEfficient frontiers; Forward search; Multivariate outlier detection; Portfolio allocation; 62F35; 62P20;
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