I am looking for either a review paper or individual papers on portfolio selection using robust statistics or regularization (e.g. LASSO, Ridge, etc.) I.e. a review on methods along the lines of: M ...
To compare two risky portfolios, Mean-Variance (M-V) portfolios for example, many compare their Cash Equivalent ($CE$). $CE$ is defined as the amount of cash that provides the same utility as the ...
I'm trying to adapt tools from portfolio theory for another use, and I have a question about how I might do so. Suppose that instead of having normally distributed returns, the return $R_i$ is ...
Let's say we have a predictive distribution of expected returns for N assets. The distribution is not normal. We can interpret the dispersion in the distribution as reflection of our uncertainty (or ...