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Robust efficient frontier analysis with a separable uncertainty model
Robust efficient frontier analysis separable uncertainty model
2015/7/10
Mean-variance (MV) analysis is often sensitive to model mis-specification or uncertainty, meaning that the MV efficient portfolios constructed with an estimate of the model parameters (i.e., the expec...
Robust portfolio optimization using pseudodistances
Robustness and sensitivity analysis portfolio optimization
2013/5/25
The presence of outliers in financial asset returns is a frequently occuring phenomenon and may lead to unreliable mean-variance optimized portfolios. This fact is due to the unbounded influence that ...