Robust Statistics Approach to Minimum Variance Portfolio Optimization

doi:doi:10.57702/dsykfq2h

Robust Statistics Approach to Minimum Variance Portfolio Optimization

The dataset used in this paper is a collection of financial asset returns, which are used to estimate the covariance matrix and optimize the minimum variance portfolio.

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Liusha Yang, Romain Couillet, Matthew R. McKay (2024). Dataset: Robust Statistics Approach to Minimum Variance Portfolio Optimization. https://doi.org/10.57702/dsykfq2h

DOI retrieved: December 16, 2024

Additional Info

Field	Value
Created	December 16, 2024
Last update	December 16, 2024
Defined In	https://doi.org/10.1109/TSP.2015.2474298
Author	Liusha Yang
More Authors	Romain Couillet Matthew R. McKay