Robust estimation of the covariance matrix for the optimal selection of investment portfolios
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| Formato: | Artículo científico |
| Lenguaje: | en |
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Universidad Nacional de Colombia
2018
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| _version_ | 1876454086954450944 |
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| author | Daniela Gutiérrez Sepúlveda |
| author_facet | Daniela Gutiérrez Sepúlveda |
| contents | Robust estimation of the covariance matrix for the optimal selection of investment portfolios Daniela Gutiérrez Sepúlveda Henry Laniado Santiago Medina Hurtado Ingeniería MCD trimmean rolling horizon Robust covariance matrix and Mahalanobis distance The selection of portfolios under the Media-Variance (M-V) model work bad when it is exposed to the presence of atypical data that generate error estimation of the parameters In order to minimize this estimation error, we investigate new robust methodologies and their financial performance in terms of the ratio Sharpe, of the turnover index and of the variance. The estimation of the covariance matrix parameter is done with three different robust methods that seek to minimize the instability generated by atypical data, the first is the great contribution of this research, which consists in shrinking the covariance matrix with a cut-out to the mean, the second and third methods are chi-square cut-outs in the distance of Mahalanobis and Minimum Determinant of the Covariance Matrix (MCD) respectively. 2018 artículo científico 0012-7353 https://www.redalyc.org/articulo.oa?id=49658894041 https://www.redalyc.org/journal/496/49658894041/ https://www.redalyc.org/journal/496/49658894041/html/ https://www.redalyc.org/journal/496/49658894041/49658894041.epub https://www.redalyc.org/journal/496/49658894041/movil 10.15446/dyna.v85n207.74883 en http://www.redalyc.org/revista.oa?id=496 Dyna application/pdf Universidad Nacional de Colombia Dyna (Colombia) Num.207 Vol.85 |
| format | Artículo científico |
| id | redalyc_49658894041 |
| institution | Redalyc |
| language | en |
| publishDate | 2018 |
| publisher | Universidad Nacional de Colombia |
| spellingShingle | Robust estimation of the covariance matrix for the optimal selection of investment portfolios Daniela Gutiérrez Sepúlveda Ingeniería MCD trimmean rolling horizon Robust covariance matrix and Mahalanobis distance Robust estimation of the covariance matrix for the optimal selection of investment portfolios Daniela Gutiérrez Sepúlveda Henry Laniado Santiago Medina Hurtado Ingeniería MCD trimmean rolling horizon Robust covariance matrix and Mahalanobis distance The selection of portfolios under the Media-Variance (M-V) model work bad when it is exposed to the presence of atypical data that generate error estimation of the parameters In order to minimize this estimation error, we investigate new robust methodologies and their financial performance in terms of the ratio Sharpe, of the turnover index and of the variance. The estimation of the covariance matrix parameter is done with three different robust methods that seek to minimize the instability generated by atypical data, the first is the great contribution of this research, which consists in shrinking the covariance matrix with a cut-out to the mean, the second and third methods are chi-square cut-outs in the distance of Mahalanobis and Minimum Determinant of the Covariance Matrix (MCD) respectively. 2018 artículo científico 0012-7353 https://www.redalyc.org/articulo.oa?id=49658894041 https://www.redalyc.org/journal/496/49658894041/ https://www.redalyc.org/journal/496/49658894041/html/ https://www.redalyc.org/journal/496/49658894041/49658894041.epub https://www.redalyc.org/journal/496/49658894041/movil 10.15446/dyna.v85n207.74883 en http://www.redalyc.org/revista.oa?id=496 Dyna application/pdf Universidad Nacional de Colombia Dyna (Colombia) Num.207 Vol.85 |
| title | Robust estimation of the covariance matrix for the optimal selection of investment portfolios |
| topic | Ingeniería MCD trimmean rolling horizon Robust covariance matrix and Mahalanobis distance |
| url | https://www.redalyc.org/articulo.oa?id=49658894041 https://www.redalyc.org/journal/496/49658894041/ https://www.redalyc.org/journal/496/49658894041/html/ https://www.redalyc.org/journal/496/49658894041/49658894041.epub https://www.redalyc.org/journal/496/49658894041/movil |