Skip to main content
Article thumbnail
Location of Repository

L-moments for Robust Portfolio Allocation

By Ghislain Yanou, Emmanuel Jurczenko and Thierry Michel


In this paper, we propose a methodology for building an estimator of the covariance matrix. We use a robust measure of moments called L-moments, and their extension into a multivariate framework. The Random matrix theory allows us to extract factors which contain real information. An empirical study in the American market shows that the Global Minimum L-variance Portfolio (GMLP) obtained from our estimator well performs the Global Minimum Variance Portfolio (GMVP) that acquired from the empirical estimator of the covariance matrix

Topics: Covariance Matrix, Lvariance-covariance, Lcorrelation, concomitance, Random matrix theory
Year: 2008
OAI identifier: oai:CiteSeerX.psu:
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • (external link)
  • (external link)
  • Suggested articles

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.