Menvouta, Emmanuel Jordy; Serneels, Sven; Verdonck, Tim - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-13
This paper introduces the minCluster portfolio, which is a portfolio optimization method combining the optimization of downside risk measures, hierarchical clustering and cellwise robustness. Using cellwise robust association measures, the minCluster portfolio is able to retrieve the underlying...