Title

Robust Portfolios: Contributions from Operations Research and Finance

Publication Type

Journal Article

Publication Date

4-2010

Abstract

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.

Keywords

Robust portfolio, Mean-variance, Mean-VaR, Mean-CVaR, Parameter uncertainty, Model uncertainty

Discipline

Finance and Financial Management | Portfolio and Security Analysis

Research Areas

Finance

Publication

Annals of Operations Research

Volume

176

Issue

1

First Page

191

Last Page

220

ISSN

0254-5330

Identifier

10.1007/s10479-009-0515-6

Publisher

Springer Verlag (Germany)

Additional URL

http://dx.doi.org/10.1007/s10479-009-0515-6

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