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"Global minimum variance portfolio optimisation under some model risk: A ..."

Bertrand Maillet, Sessi Tokpavi, Benoit Vaucher (2015)

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DOI: 10.1016/J.EJOR.2015.01.010

access: closed

type: Journal Article

metadata version: 2022-10-02

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Bertrand Maillet, Sessi Tokpavi, Benoit Vaucher:
Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach. Eur. J. Oper. Res. 244(1): 289-299 (2015)

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