基于横截面回归和Fama-MacBeth估计的鲁棒投资组合优化问题研究

江波, 朱喜华

Robust portfolio selection based on cross-sectional regression and Fama-Macbeth estimator

JIANG Bo, ZHU Xihua

运筹学学报 . 2021, (3): 133 -146 . DOI: 10.15960/j.cnki.issn.1007-6093.2021.03.008