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)
Citation
FABOZZI, Frank; Dashan HUANG; and ZHOU, Guofu.
Robust Portfolios: Contributions from Operations Research and Finance. (2010). Annals of Operations Research. 176, (1), 191-220.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/4783
Additional URL
https://doi.org/10.1007/s10479-009-0515-6