Odporna estymacja portfeli

• Authors: Bartosz Kaszuba

Title variants

EN

Robust Portfolio Estimation

• Languages of publication: PL

Abstracts

EN

The article contains a thorough overview of the literature on robust estimation methods for robust portfolios, together with a proposal for two new methods, LTS and LMS, based on the concept of robust regression. The study also contains a detailed description of the most important research results obtained to date in this field then presents potential problems regarding the practical application of robust portfolios, together with an indication of further trends in this area, including the creation of rolling portfolios, which are at the same time robust and stable.

Keywords

EN

ROBUST PORTFOLIOS; PORTFOLIO OPTIMISATION; MARKOWITZ PORTFOLIO THEORY

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
• Journal: Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
• Year: 2012
• Issue: 895
• Pages: 35-46

Contributors

author

Bartosz Kaszuba

• Uniwersytet Ekonomiczny we Wrocławiu, Katedra Inwestycji Finansowych i Zarządzania Ryzykiem, ul. Komandorska 118/120, 53-345 Wrocław, Poland

References

• Chilson J. et al. [2004], Parallel Computation of High Dimensional Robust Correlation and Covariance Matrix, Proceedings of the ACM SIGKDD, New York, USA.
• Croux C. [1998], Limit Behavior of the Empirical Influence Function of the Median’, Statistics and Probability Letters, 37.
• DeMiguel V., Nogales F.J. [2009], Portfolio Selection with Robust Estimation, Operations Research, Vol. 57, No 3.
• Hampel F.R. [1974], The Influence Curve and Its Role in Robust Estimation, The Annals of Statistics, 69.
• Khan J.A., van Aelst S., Zamar R.H. [2007], Robust Linear Model Selection Based on Least Angle Regression, „Journal of the American Statistical Association”, 102.
• Lauprete G.J. [2001], Portfolio Risk Minimization under Departures from Normality, praca doktorska, Sloan School of Management, Massachusetts Institute of Technology, Cambridge, MA.
• Lauprete G.J., Samarov A.M., Welsch R.E. [2002], Robust Portfolio Optimization, Metrika, 55.
• Mangasarian O.L., Musicant D.R. [2000], Robust Linear and Support Vector Regression, IEEE Trans. Pattern Analysis Mach. Intell., 22.
• Mendes B.V.M., Leal C.R.P. [2005], Robust Multivariate Modeling in Finance, „International Journal of Managerial Finance”, Vol. 1, Issue 2.
• Papahristodoulou C., Dotzauer E. [2004], Optimal Portfolios Using Linear Programming Models, „The Journal of the Operational Research Society”, Vol. 55, No 11.
• Perret-Gentil C., Victoria-Feser M.P. [2004], Robust Mean-variance Portfolio Selection. FAME Research Paper 140. International Center for Financial Asset Management and Engineering, Geneva.
• Rousseeuw P.J. [1984], Least Median of Squares Regression, „Journal of the American Statistical Association”, No 79.
• Welsch R.E., Zhou X. [2007], Application of Robust Statistics to Asset Allocation Models REVSTAT, „Statistical Journal” 5 (1).
• Zhou X. [2006], Application of Robust Statistics to Asset Allocation Models, Massachusetts Institute of Technology, praca magisterska (maszynopis).