| Abstrak/Abstract |
The mean-variance portfolio model assumes that
the returns follow a multivariate normal distribution.
Unfortunately in actual financial markets, the empirical
distribution of asset returns may in fact be asymmetric or
multivariate elliptically symmetric with heavier tails. Therefore,
the resulting optimal portfolio by this model will be heavily
biased. For this reason, in this paper, we construct a robust
mean-variance portfolio that has better stability performances.
The robust portfolio is constructed using certain robust
estimator, i.e. Constrained M-Estimator. Based on simulation
and empirical results, we can conclude that our proposed robust
portfolios are better than classical portfolios in all cases
investigated. |
