Implemented robust regressio technology in portfolio optimization. Constructed optimized portfolio based on robust regression estimations. Compared the portfolio performance with optimized portfolio which is based on ordinary least square estimation.

Creator

• Gao, Weiguo

Contributori

• Vermes, Domokos

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-0430104-144655

Parola chiave

• Portfolio Optimization
• robust estimation

Advisor

• Vermes, Domokos

Defense date

• 2004-04-30

Year

• 2004

Date created

• 2004-04-30

Resource type

• Thesis

Rights statement

• In Copyright