Selection of stocks in a portfolio of shares represents a very interesting problem of “optimal classification”. Often such optimal allocation is determined by second-order conditions which are very sensitive to outliers. Existing robust estimator of the covariance matrix seems to provide poor results in financial management, so we propose an alternative way of weighting observations by using a forward search approach. An application to real data, which shows the advantages of the proposed approach is reported at the end of this work.
Robust portfolio asset allocation
GROSSI, Luigi;
2009-01-01
Abstract
Selection of stocks in a portfolio of shares represents a very interesting problem of “optimal classification”. Often such optimal allocation is determined by second-order conditions which are very sensitive to outliers. Existing robust estimator of the covariance matrix seems to provide poor results in financial management, so we propose an alternative way of weighting observations by using a forward search approach. An application to real data, which shows the advantages of the proposed approach is reported at the end of this work.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
