Bertrand Maillet, Sessi Tokpavi, Benoit Vaucher. Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach. European Journal of Operational Research, 244(1):289-299, 2015. [doi]
@article{MailletTV15,
title = {Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach},
author = {Bertrand Maillet and Sessi Tokpavi and Benoit Vaucher},
year = {2015},
doi = {10.1016/j.ejor.2015.01.010},
url = {http://dx.doi.org/10.1016/j.ejor.2015.01.010},
researchr = {https://researchr.org/publication/MailletTV15},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {244},
number = {1},
pages = {289-299},
}