Open Conference Systems, 50th Scientific meeting of the Italian Statistical Society

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Depth-based portfolio selection
Giuseppe Pandolfo, Carmela Iorio, Antonio D'Ambrosio

Last modified: 2018-06-04


The estimation of multivariate location and scatter is the cornerstone ofthe classical multivariate statistical methods widely used in portfolio selection problems. However, they are not robust.We propose to use an alternative nonparametric approach based on the weighted LP depth as robust location and scatter estimator in order to deal with extreme events in asset returns analysis. We first review weighted LP depth along with its main properties and then discuss its application to portfolio selection through a small simulation study.


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