Portfolio models with robust estimators

Supervisor
Stefano Benati - Università di Trento
Date and time
Tuesday, May 15, 2018 at 2:30 PM - Sala riunioni II piano
Programme Director
External reference
Publication date
May 7, 2018
Department
Computer Science  

Summary

Variance estimators that are robust. The Optimal Median portfolio model. The Median/Risk portfolio models, integer linear
programming formulation, experimental results.
Contact person: Romeo Rizzi
 





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