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 ...

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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 ...

(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 ...