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Robust portfolio optimization using pseudodistances
Robustness and sensitivity analysis portfolio optimization
2013/6/14
The presence of outliers in financial asset returns is a frequently occuring phenomenon and may lead to unreliable mean-variance optimized portfolios. This fact is due to the unbounded influence that ...
Portfolio Optimization with Non-Constant Volatility and Partial Information
Portfolio Optimization Non-Constant Volatility Partial Information
2009/9/17
Portfolio Optimization with Non-Constant Volatility and Partial Information。