Issue: 2008/Vol.18/No.1, Pages 83-96
INVESTMENT DECISIONS AND PORTFOLIOS CLASSIFICATIONS BASED ON ROBUST METHODS OF ESTIMATION
Grażyna Trzpiot
, Justyna Majewska
Cite as: G. Trzpiot, J. Majewska. Investment decisions and portfolios classifications based on robust methods of estimation. Operations Research and Decisions 2008: 18(1), 83-96.
Abstract
In the process of assets selection and their allocation to the investment portfolio the most important factor issue thing is the accurate evaluation of the volatility of the return rate. In order to achieve stable and accurate estimates of parameters for contaminated multivariate normal distributions the robust estimators are required. In this paper we used some of the robust estimators to selection the optimal investment portfolios. The main goal of this paper was the comparative analysis of generated investment portfolios with respect to chosen robust estimation methods.
Keywords: investment decisions, robust estimators, portfolios classification, cluster analysis
Received: Accepted: