Global Minimum Variance Portfolio Optimisation Under some Model Risk: A Robust Regression-based Approach
Sessi Tokpavi () and
Post-Print from HAL
Note: View the original document on HAL open archive server: https://hal-univ-paris10.archives-ouvertes.fr/hal-01449949
References: Add references at CitEc
Citations View citations in EconPapers (4) Track citations by RSS feed
Published in European Journal of Operational Research, Elsevier, 2015, 244, pp.289 - 299
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Journal Article: Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach (2015)
Working Paper: Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01449949
Access Statistics for this paper
More papers in Post-Print from HAL
Series data maintained by CCSD ().