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Robust estimation of covariance and its application to portfolio optimization
Huo, Lijuan; Kim, Tae-hwan; Kim, Yunmi - In: Finance research letters 9 (2012) 3, pp. 121-134
Persistent link: https://www.econbiz.de/10009628116
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Portfolio optimization using asymmetry robust mean absolute deviation model
Li, Ping; Han, Yingwei; Xia, Yong - In: Finance research letters 18 (2016), pp. 353-362
Persistent link: https://www.econbiz.de/10011657302
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On more robust estimation of skewness and kurtosis
Kim, Tae-hwan; White, Halbert - In: Finance research letters 1 (2004) 1, pp. 56-73
Persistent link: https://www.econbiz.de/10003307251
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Robust estimation of skewness and kurtosis in distributions with infinite higher moments
Bonato, Matteo - In: Finance research letters 8 (2011) 2, pp. 77-87
Persistent link: https://www.econbiz.de/10009301294
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A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns
Shi, Yanlin - In: Finance research letters 44 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10014494772
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Composition of robust equity portfolios
Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J. - In: Finance research letters 10 (2013) 2, pp. 72-81
Persistent link: https://www.econbiz.de/10009774437
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Dynamic robust portfolio selection with copulas
Han, Yingwei; Li, Ping; Xia, Yong - In: Finance research letters 21 (2017), pp. 190-200
Persistent link: https://www.econbiz.de/10011807775
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Robust consumption and portfolio rules with time-varying model confidence
Jang, Bong-Gyu; Lee, Seungkyu; Lim, Byung Hwa - In: Finance research letters 18 (2016), pp. 342-352
Persistent link: https://www.econbiz.de/10011657300
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Portfolio optimization using robust mean absolute deviation model : Wasserstein metric approach
Hosseini-Nodeh, Zohreh; Shiraz, Rashed Khanjani; … - In: Finance research letters 54 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014472705
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Triple-net leased property portfolios and operational efficiency : evidence from the U.S. REIT market
Allen, Marcus T.; Huerta, Daniel E.; Weeks, H. Shelton; … - In: Finance research letters 65 (2024), pp. 1-10
Persistent link: https://www.econbiz.de/10014553196