Maillet, Bertrand Bruno; Tokpavi, Sessi; Vaucher, Benoit - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013
The global minimum variance portfolio computed using the sample covariance matrix is known to be negatively affected by parameter uncertainty. Using a robust control approach, we introduce a portfolio rule for investors who wish to invest in the global minimum variance portfolio due to its...