Robust Portfolios: Contributions from Operations Research and Finance

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...

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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
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Institution:	Singapore Management University
Language:	English

id	sg-smu-ink.lkcsb_research-5782
record_format	dspace
spelling	sg-smu-ink.lkcsb_research-57822016-01-08T10:00:06Z Robust Portfolios: Contributions from Operations Research and Finance FABOZZI, Frank Dashan HUANG, ZHOU, Guofu 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 popular risk measures, mean-VaR and mean-CVaR developed recently. In addition, we review optimal estimation methods and Bayesian robust approaches. 2010-04-01T07:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/4783 info:doi/10.1007/s10479-009-0515-6 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Robust portfolio Mean-variance Mean-VaR Mean-CVaR Parameter uncertainty Model uncertainty Finance and Financial Management Portfolio and Security Analysis
institution	Singapore Management University
building	SMU Libraries
continent	Asia
country	Singapore Singapore
content_provider	SMU Libraries
collection	InK@SMU
language	English
topic	Robust portfolio Mean-variance Mean-VaR Mean-CVaR Parameter uncertainty Model uncertainty Finance and Financial Management Portfolio and Security Analysis
spellingShingle	Robust portfolio Mean-variance Mean-VaR Mean-CVaR Parameter uncertainty Model uncertainty Finance and Financial Management Portfolio and Security Analysis FABOZZI, Frank Dashan HUANG, ZHOU, Guofu Robust Portfolios: Contributions from Operations Research and Finance
description	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 popular risk measures, mean-VaR and mean-CVaR developed recently. In addition, we review optimal estimation methods and Bayesian robust approaches.
format	text
author	FABOZZI, Frank Dashan HUANG, ZHOU, Guofu
author_facet	FABOZZI, Frank Dashan HUANG, ZHOU, Guofu
author_sort	FABOZZI, Frank
title	Robust Portfolios: Contributions from Operations Research and Finance
title_short	Robust Portfolios: Contributions from Operations Research and Finance
title_full	Robust Portfolios: Contributions from Operations Research and Finance
title_fullStr	Robust Portfolios: Contributions from Operations Research and Finance
title_full_unstemmed	Robust Portfolios: Contributions from Operations Research and Finance
title_sort	robust portfolios: contributions from operations research and finance
publisher	Institutional Knowledge at Singapore Management University
publishDate	2010
url	https://ink.library.smu.edu.sg/lkcsb_research/4783
_version_	1770572691854589952

Robust Portfolios: Contributions from Operations Research and Finance

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