Faculty Advisor or Committee Member

Domokos Vermes, Advisor

Identifier

etd-0430104-144655

Abstract

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.

Publisher

Worcester Polytechnic Institute

Degree Name

MS

Department

Mathematical Sciences

Project Type

Thesis

Date Accepted

2004-04-30

Accessibility

Unrestricted

Subjects

robust estimation, portfolio optimization

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