2026-10-13T19:40:19Z https://data.mendeley.com/oai

oai:data.mendeley.com/gx66wsgwkr.1 2024-03-06T12:14:25Z

Tu, Xueyong Robust portfolio selection with smart return prediction Mendeley Data We propose a robust portfolio framework that optimizes parameters in return prediction by maximizing robust mean-variance utility. The proposed framework effectively combines return prediction and portfolio decisions while mitigating the uncertainty in return prediction. The data includes monthly firm-level returns and firm-level characteristics from January 1976 to December 2021. Finance Li, Bin Dataset doi:10.17632/gx66wsgwkr.1 oai:data.mendeley.com/gx66wsgwkr.1 Creative Commons Attribution 4.0 International http://creativecommons.org/licenses/by/4.0 https://data.mendeley.com/datasets/gx66wsgwkr 2024-03-06T12:14:25Z