TITLE:
The Application of Robust Statistics to China’s Stock Market
AUTHORS:
Xiongying Li, Yaomin Zhang, Bin Yan
KEYWORDS:
Portfolio, Outlier, Robust Estimate, Robust Regression
JOURNAL NAME:
Open Journal of Statistics,
Vol.8 No.1,
February
1,
2018
ABSTRACT: Portfolio theory is used to measure the expected return and risk on the basis
of the return ratio, but in fact there is always excessively high or low return
ratio caused by some short-term fundamental good or bad news in the history data
of return ratio. We introduce the robust statistic idea into the portfolio theory
in this paper, thus reduce outliers’ influence on portfolio decision in the history
data of return ratios, and bring back the portfolio on its long-term investment
value track. We focused on the robust estimate method and apply them to solution
processing in the portfolio model and obtained good results.