Implemented robust regressio technology in portfolio optimization. Constructed optimized portfolio based on robust regression estimations. Compared the portfolio performance with optimized portfolio which is based on ordinary least square estimation.
| Identifer | oai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-1567 |
| Date | 30 April 2004 |
| Creators | Gao, Weiguo |
| Contributors | Domokos Vermes, Advisor, , |
| Publisher | Digital WPI |
| Source Sets | Worcester Polytechnic Institute |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | Masters Theses (All Theses, All Years) |
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