Efficient and robust estimation for financial returns: an approach based on q-entropy
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- Davide Ferrari & Sandra Paterlini, 2010. "Efficient and robust estimation for financial returns: an approach based on q-entropy," Center for Economic Research (RECent) 041, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
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- Giuzio, Margherita & Ferrari, Davide & Paterlini, Sandra, 2016. "Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization," European Journal of Operational Research, Elsevier, vol. 250(1), pages 251-261.
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Keywordsq-entropy; robust estimation; power-divergence; _nancial returns;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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