Maillet, Bertrand; Tokpavi, Sessi; Vaucher, Benoit - In: European Journal of Operational Research 244 (2015) 1, pp. 289-299
The global minimum variance portfolio computed using the sample covariance matrix is known to be negatively affected by … investors who wish to invest in the global minimum variance portfolio due to its strong historical track record, but seek a rule … that is robust to parameter uncertainty. Our robust portfolio corresponds theoretically to the global minimum variance …