Robust Portfolio Selection
In this paper, we discuss one of the reasons leading practitionners to the rejection of the Markowitz model and propose a new stastistical method to avoid this problem. To be more precise, we discuss the problem of statistical robustness of the Markowitz optimizer and show that the latter is not robust, meaning that a few extreme assets prices or returns can lead to irrelevant 'optimal' portfolios. We then propose a robust Markowitz optimizer and show that it is far more stable than the classical version.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||2000|
|Date of revision:|
|Contact details of provider:|| Postal: Suisse; Ecole des Hautes Etudes Commerciales, Universite de Geneve, faculte des SES. 102 Bb. Carl-Vogt CH - 1211 Geneve 4, Suisse|
Phone: (+ 41 22) 705-8263
Fax: (+ 41 22) 705-8293
Web page: http://www.unige.ch/gsem/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:fth:ehecge:2000.14. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)
If references are entirely missing, you can add them using this form.