Robust covariance estimators for mean-variance portfolio optimization with transaction lots
This study presents an improvement to the mean-variance portfolio optimization model, by considering both the integer transaction lots and a robust estimator of the covariance matrices. Four robust estimators were tested, namely the Minimum Covariance Determinant, the S, the MM, and the Orthogonaliz...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-01-01
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| Series: | Operations Research Perspectives |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214716020300440 |