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Portfolio Optimization Based on Robust Estimation Procedures

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.

Identiferoai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-1567
Date30 April 2004
CreatorsGao, Weiguo
ContributorsDomokos Vermes, Advisor, ,
PublisherDigital WPI
Source SetsWorcester Polytechnic Institute
Detected LanguageEnglish
Typetext
Formatapplication/pdf
SourceMasters Theses (All Theses, All Years)

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