Robust mean-variance portfolio through the weighted $$L^{p}$$ depth function

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Bibliographic Details
Published inAnnals of operations research Vol. 292; no. 1; pp. 519 - 531
Main Authors Pandolfo, Giuseppe, Iorio, Carmela, Siciliano, Roberta, D’Ambrosio, Antonio
Format Journal Article
LanguageEnglish
Published 01.09.2020
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ISSN:0254-5330
1572-9338
DOI:10.1007/s10479-019-03474-x