Document Type thesis Author Name Gao, Weiguo URN etd-0430104-144655 Title Portfolio Optimization Based on Robust Estimation Procedures Degree MS Department Mathematical Sciences Advisors Domokos Vermes, Advisor Keywords robust estimation portfolio optimization Date of Presentation/Defense 2004-04-30 Availability unrestricted
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.
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