Robust estimation of efficient mean-variance frontiers

  title={Robust estimation of efficient mean-variance frontiers},
  author={Luigi Grossi and Fabrizio Laurini},
  journal={Adv. Data Analysis and Classification},
Standard methods for optimal allocation of shares in a financial portfolio are determined by second-order conditions which are very sensitive to outliers. The well-known Markowitz approach, which is based on the input of a mean vector and a covariance matrix, seems to provide questionable results in financial management, since small changes of inputs might lead to irrelevant portfolio allocations. However, existing robust estimators often suffer from masking of multiple influential observations… CONTINUE READING

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