Menvouta, Emmanuel Jordy; Serneels, Sven; Verdonck, Tim - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-13
This paper introduces the minCluster portfolio, which is a portfolio optimization method combining the optimization of … protection by using tail risk measures for portfolio optimization. We show through simulation studies and a real data example … based approaches. Cellwise outlier robustness makes the minCluster method particularly suitable for stable optimization of …