Robust Portfolio Selection

Maria-Pia Victoria-Feser ()

Working Papers from Ecole des Hautes Etudes Commerciales, Universite de Geneve-

Abstract: 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.

Keywords: INVESTMENTS; MODELS; STATISTICAL ANALYSIS; PRICES (search for similar items in EconPapers)
JEL-codes: C44 G11 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2000
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:ehecge:2000.14

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