This paper investigated the properties of equity portfolios under mean-variance frameworkand built on statistically robust estimates of risk and return. The motivation for this approachis that financial data contains more outliers and fatter tails than that predicted from a normaldistribution. Portfolio stability properties and Sharpe ratio of returns were used to comparedifferent portfolios that came out from the classical (where risk and return were estimated bythe maximum likelihood estimator) and robust estimates of risk and return. Robust portfoliosare more stable than the classical ones but their Sharpe ratio of returns is no different fromtheir classical counter-part.
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