Robust portfolios: contributions from operations research and finance
Frank Fabozzi (),
Dashan Huang () and
Guofu Zhou ()
Annals of Operations Research, 2010, vol. 176, issue 1, 220 pages
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. Copyright Springer Science+Business Media, LLC 2010
Keywords: Robust portfolio; Mean-variance; Mean-VaR; Mean-CVaR; Parameter uncertainty; Model uncertainty (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:176:y:2010:i:1:p:191-220:10.1007/s10479-009-0515-6
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