Portfolio selection with robust estimation

Journal

Operations Research

Subject

Management Science and Operations

Publishing details

Operations Research 2009 Vol 57:3 p 560-577

Authors / Editors

DeMiguel V; Nogales F J

Biographies

DeMiguel V

Publication Year

2009

Keywords

Finance; Portfolio; Investment; Economics; Econometrics; Portfolio choice; Minimum-variance portfolios; Estimation error; Robust statistics