Minimum variance portfolio optimization with robust shrinkage covariance estimation.

Liusha Yang Romain Couillet Matthew R. McKay

Published in: ACSSC (2014)

Keyphrases

minimum variance
portfolio optimization
robust optimization
estimation error
portfolio selection
risk management
stock market
problems involving
factor analysis
bi objective
optimization methods
stock price
covariance matrix
k means
linear prediction
mathematical programming
stock exchange
multi objective