Global minimum variance portfolios under uncertainty: a robust optimization approach
This paper presents new models which seek to optimize the first and second moments of asset returns without estimating expected returns. Motivated by the stability of optimal solutions computed by optimizing only the second moment and applying the robust optimization methodology which allows to inco...
| Autor principal: | |
|---|---|
| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2020
|
| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10316/88869 |
| País: | Portugal |
| Oai: | oai:estudogeral.sib.uc.pt:10316/88869 |