Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-0430104-144655


Document Typethesis
Author NameGao, Weiguo
URNetd-0430104-144655
TitlePortfolio Optimization Based on Robust Estimation Procedures
DegreeMS
DepartmentMathematical Sciences
Advisors
  • Domokos Vermes, Advisor
  • Keywords
  • robust estimation
  • portfolio optimization
  • Date of Presentation/Defense2004-04-30
    Availability unrestricted

    Abstract

    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.

    Files
  • Wei_thesis.pdf

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