Recent Developments in Robust Portfolios with a Worst-Case Approach

Jang Ho Kim (), Woo Chang Kim () and Frank Fabozzi ()
Additional contact information
Jang Ho Kim: Korea Advanced Institute of Science and Technology (KAIST)
Woo Chang Kim: Korea Advanced Institute of Science and Technology (KAIST)

Journal of Optimization Theory and Applications, 2014, vol. 161, issue 1, No 6, 103-121

Abstract: Abstract Robust models have a major role in portfolio optimization for resolving the sensitivity issue of the classical mean–variance model. In this paper, we survey developments of worst-case optimization while focusing on approaches for constructing robust portfolios. In addition to the robust formulations for the Markowitz model, we review work on deriving robust counterparts for value-at-risk and conditional value-at-risk problems as well as methods for combining uncertainty in factor models. Recent findings on properties of robust portfolios are introduced, and we conclude by presenting our thoughts on future research directions.

Keywords: Mean-variance model; Robust portfolio; Worst-case optimization; Uncertainty sets (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (36)

Downloads: (external link)
http://link.springer.com/10.1007/s10957-013-0329-1 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:joptap:v:161:y:2014:i:1:d:10.1007_s10957-013-0329-1

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10957/PS2

DOI: 10.1007/s10957-013-0329-1

Access Statistics for this article

Journal of Optimization Theory and Applications is currently edited by Franco Giannessi and David G. Hull

More articles in Journal of Optimization Theory and Applications from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().