Robust Portfolios: Contributions from Operations Research and Finance

• Main Authors: FABOZZI, Frank, Dashan HUANG, ZHOU, Guofu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2010
• Subjects: Robust portfolio; Mean-variance; Mean-VaR; Mean-CVaR; Parameter uncertainty; Model uncertainty; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/4783
• Institution: Singapore Management University

In this paper we provide a survey of recent contributions to robust portfolio strategies from operations research and finance to the theory of portfolio selection. Our survey covers results derived not only in terms of the standard mean-variance objective, but also in terms of two of the most popula...