Application of robust statistics to asset allocation models

By Xinfeng Zhou. 2006

77 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/087bbf964996c142182bf6ad37350a499ba7e74e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Victor DeMiguel
2. Francisco Javier Nogales
3. Raman Uppal
4. Lorenzo Garlappi
5. Olivier Ledoit
6. Clifford Lam
7. Yacine Aït-Sahalia
8. Michael Wolf

Citations in the corpus

• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009, background): “Lauprete (2001) also considers the 1- and 2-norm-constrained portfolios; see also Lauprete, Samarov, and Welsch (2002) and Welsch and Zhou (2007) .”