出版社：Fundação Getulio Vargas, Escola de Pós-Graduação em Economia
摘要：This paper investigated the properties of equity portfolios under mean-variance
framework and built on statistically robust estimates of risk and return. The
motivation for this approach is that financial data contains more outliers and
fatter tails than that predicted from a normal distribution. Portfolio stability
properties and Sharpe ratio of returns were used to compare different portfolios
that came out from the classical (where risk and return were estimated by the
maximum likelihood estimator) and robust estimates of risk and return. Robust
portfolios are more stable than the classical ones but their Sharpe ratio of
returns is no different from their classical counter-part.
