Faculty Advisor or Committee Member
Domokos Vermes, Advisor
Implemented robust regressio technology in portfolio optimization. Constructed optimized portfolio based on robust regression estimations. Compared the portfolio performance with optimized portfolio which is based on ordinary least square estimation.
Worcester Polytechnic Institute
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Gao, Weiguo, "Portfolio Optimization Based on Robust Estimation Procedures" (2004). Masters Theses (All Theses, All Years). 568.
robust estimation, portfolio optimization