Portfolio selection has a long tradition in financial economics and plays an integral role in investment management. Portfolio selection provides the framework to determine optimal portfolio choice from a universe of available investments. However, the asset weightings from portfolio selection...

In the study of finance, likelihood based or moment based methods are frequently used to estimate parameters for various kinds of models given the sampled return data. While the former method is not robust, the latter one suffers from loss of efficiency and high noise-to-signal ratio in the...