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Global Minimum Variance Portfolio Optimisation Under some Model Risk: A Robust Regression-based Approach

Bertrand Maillet, Sessi Tokpavi () and Benoit Vaucher
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Sessi Tokpavi: EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

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Date: 2015
Note: View the original document on HAL open archive server: https://hal-univ-paris10.archives-ouvertes.fr/hal-01449949
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Published in European Journal of Operational Research, Elsevier, 2015, 244, pp.289 - 299

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Journal Article: Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach (2015) Downloads
Working Paper: Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach (2015)
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