Robust Mean-Variance Portfolio Selection
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References listed on IDEAS
- Barry, Christopher B, 1974. "Portfolio Analysis under Uncertain Means, Variances, and Covariances," Journal of Finance, American Finance Association, vol. 29(2), pages 515-522, May.
- Alexander, Gordon J & Resnick, Bruce G, 1985. " More on Estimation Risk and Simple Rules for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 40(1), pages 125-133, March.
- Mark Britten-Jones, 1999. "The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights," Journal of Finance, American Finance Association, vol. 54(2), pages 655-671, April.
- Ter Horst, J.R. & de Roon, F.A. & Werker, B.J.M., 2000. "Incorporating Estimation Risk in Portfolio Choice," Discussion Paper 2000-65, Tilburg University, Center for Economic Research.
More about this item
KeywordsMean-variance e .cient frontier; Outliers; Model risk; Robust es-timation;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-05-14 (All new papers)
- NEP-BEC-2005-05-14 (Business Economics)
- NEP-ECM-2005-05-14 (Econometrics)
- NEP-FIN-2005-05-14 (Finance)
- NEP-RMG-2005-05-14 (Risk Management)
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