This paper discusses a novel application of mathematical programming techniques to a regression problem. While least squares regression techniques have been used fora long time, it is known that their robustness properties are not desirable. Specifically, the estimators are known to be too...

This article presents a new approach for building robust portfolios based on stochastic efficiency analysis and periods of market downturn. The empirical analysis is done on assets traded on the Brazil Stock Exchange, B3 (Brasil, Bolsa, Balcão). We start with information on the assets from...