Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk.
Francisco RubioXavier MestreDaniel P. PalomarPublished in: IEEE J. Sel. Top. Signal Process. (2012)
Keyphrases
- minimum variance
- portfolio optimization
- optimal selection
- portfolio selection
- spectral estimation
- risk management
- problems involving
- stock market
- investment decisions
- bi objective
- robust optimization
- estimation error
- optimization methods
- stock price
- stock exchange
- factor analysis
- evolutionary algorithm
- linear prediction
- reinforcement learning