In most books on time series analysis, estimators of the variance and autocovariance for a stationary process are discussed under the assumption that the process mean is known. Here we illustrate that ...

This paper investigates robust optimization methods for mean-variance portfolio selection problems under the estimation risk in mean returns. We show that with an ellipsoidal uncertainty set based on ...

This is a preview. Log in through your library . Abstract In this paper we investigate the consequences of misspecification on the large sample properties of change-point estimators and the validity ...

(a) in the limit of low uncertainty in estimated asset mean returns, the robust portfolio converges toward the mean-variance portfolio obtained with the same inputs, and (b) in the limit of high ...