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Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach.
Bertrand Maillet
Sessi Tokpavi
Benoit Vaucher
Published in:
Eur. J. Oper. Res. (2015)
Keyphrases
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cost function
global minimum
probabilistic model
image analysis
objective function
prior knowledge
energy function
experimental data
multiple models
robust regression