Robust portfolio selection problems: a comprehensive review

Alireza Ghahtarani (), Ahmed Saif and Alireza Ghasemi
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Alireza Ghahtarani: Dalhousie University
Ahmed Saif: Dalhousie University
Alireza Ghasemi: Dalhousie University

Operational Research, 2022, vol. 22, issue 4, No 3, 3203-3264

Abstract: Abstract This paper reviews recent advances in robust portfolio selection problems and their extensions, from both operational research and financial perspectives. A multi-dimensional classification of the models and methods proposed in the literature is presented, based on the types of financial problems, uncertainty sets, robust optimization approaches, and mathematical formulations. Several open questions and potential future research directions are identified.

Keywords: Robust optimization; Portfolio selection problem; Comprehensive literature review (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (9)

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DOI: 10.1007/s12351-022-00690-5

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