Robust minimum variance portfolio with L-infinity constraints
Year of publication: |
2014
|
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Authors: | Xing, Xin ; Hu, Jinjin ; Yang, Yaning |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 46.2014, p. 107-117
|
Subject: | Minimum variance portfolio | Norm constraints | Sparsity | Clustering | Robust | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Robustes Verfahren | Robust statistics | Schätztheorie | Estimation theory |
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