Use the multivariate returns data of Exercises 8 and 9 or other similarly interesting multivariate returns data for this problem. Compute and display bootstrapped classical and robust efficient...



Use the multivariate returns data of Exercises 8 and 9 or other similarly


interesting multivariate returns data for this problem. Compute and display


bootstrapped classical and robust efficient frontiers and boxplots of paired


differences in classical and robust Sharpe ratios. What is the effect of


changing the number of bootstrap samples? How many bootstrap samples


appear to be adequate to you?



May 26, 2022
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