Robust Portfolio Selection Problems: A Comprehensive Review

Alireza Ghahtarani, Ahmed Saif and Alireza Ghasemi

Papers from arXiv.org

Abstract: In this paper, we provide a comprehensive review of 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.

Date: 2021-03, Revised 2022-01
New Economics Papers: this item is included in nep-cwa
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2103.13806

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