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Robust minimum variance portfolio with L-infinity constraints |
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| Affiliation: | 1. Department of Risk Management and Insurance, College of Economics, Shenzhen University, 3688 Nanhai Blvd., Nanshan District, Shenzhen 518060, Guangdong, China;2. Safeco Distinguished Professor of Insurance, Department of Finance and Management Science, Washington State University, PO Box 644746, Pullman, WA 99164-4746, USA;3. Department of Finance and Marketing, College of Business, California State University, Chico |
| Abstract: | |
| Keywords: | Minimum variance portfolio Norm constraints Sparsity Clustering Robust |
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