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 popular risk measures, mean-VaR and mean-CVaR developed recently. In addition, we review optimal estimation methods and Bayesian robust approaches.
Robust portfolio, Mean-variance, Mean-VaR, Mean-CVaR, Parameter uncertainty, Model uncertainty
Finance and Financial Management | Portfolio and Security Analysis
Annals of Operations Research
Springer Verlag (Germany)
FABOZZI, Frank; Dashan HUANG; and ZHOU, Guofu.
Robust Portfolios: Contributions from Operations Research and Finance. (2010). Annals of Operations Research. 176, (1), 191-220. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/4783
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