The Application of Robust Statistics to Stock Portfolio Problem
Xiongying Li, Jiahao Hong, Binhui Wang
Available Online April 2015.
- https://doi.org/10.2991/icmra-15.2015.247How to use a DOI?
- portfolio; outlier; Fast-MCD; robust regression
- Portfolio theory is used to measure the expected return and risk on the basis of the history data of security return ratio,but in fact there is always excessively high or low return ratio caused by some short-term fundamental good or bad news in the history data of return ratio.We introduce the robust statistic idea into the portfolio theory in this paper,thus reduce outliers’ influence on portfolio decision in the history data of return ratios,bring back the portfolio on its long-term investment value track.For the classic Markowits mean-variance model and Sharp’s single index model, we focused on the robust estimate method Fast-MCD and robust regression method,and apply them to solution processing in the portfolio model and obtained good results .
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Xiongying Li AU - Jiahao Hong AU - Binhui Wang PY - 2015/04 DA - 2015/04 TI - The Application of Robust Statistics to Stock Portfolio Problem BT - Proceedings of the 3rd International Conference on Mechatronics, Robotics and Automation PB - Atlantis Press SP - 1285 EP - 1289 SN - 2352-538X UR - https://doi.org/10.2991/icmra-15.2015.247 DO - https://doi.org/10.2991/icmra-15.2015.247 ID - Li2015/04 ER -