Robust Linear Regression for Portfolio Optimization
The research presents a new optimization framework that minimizes unknown parameters and addresses estimation error in portfolio optimizations by focusing on the row sums of precision matrix estimates.
Featured in No. 41 on 20 Mar 2024 · 4 days after release
- Released
- 16 Mar 2024
- First featured
- No. 41 · 20 Mar 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4761214
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).