Robust portfolio selection with smart return prediction
收藏NIAID Data Ecosystem2026-05-01 收录
下载链接：
https://data.mendeley.com/datasets/gx66wsgwkr
下载链接
链接失效反馈官方服务：
资源简介：
We propose a robust portfolio framework that optimizes parameters in return prediction by maximizing robust mean-variance utility. The proposed framework effectively combines return prediction and portfolio decisions while mitigating the uncertainty in return prediction.
The data includes monthly firm-level returns and firm-level characteristics from January 1976 to December 2021.
创建时间：
2024-03-06
