Portfolio Optimization with Robust Covariance and Conditional Value-at-Risk Constraints
结合稳健协方差与条件风险价值约束的投资组合优化
The measure of portfolio risk is an important input of the Markowitz framework. In this study, we explored various methods to obtain a robust covariance estimators that are less susceptible to financial data noise. We evaluated the performance of large-cap portfolio using various forms of Ledoit Shrinkage Covariance and Robust Gerber Covariance matrix during the period of 2012 to 2022. Out-of-sample performance indicates that robust covariance estimators can outperform the…