Browsing FGV EPGE - Seminários de Pesquisa Econômica by Title "Robust statistical modeling of portfolios"
Now showing items 1-1 of 1
-
Robust statistical modeling of portfolios
2002-03-14Atypical points in the data may result in meaningless e±cient frontiers. This follows since portfolios constructed using classical estimates may re°ect neither the usual nor the unusual days patterns. On the other hand, ...


