Annals of Operations Research

, Volume 176, Issue 1, pp 191–220

Robust portfolios: contributions from operations research and finance

Authors

    • School of ManagementYale University
  • Dashan Huang
    • Olin School of BusinessWashington University
  • Guofu Zhou
    • Olin School of BusinessWashington University
Article

DOI: 10.1007/s10479-009-0515-6

Cite this article as:
Fabozzi, F.J., Huang, D. & Zhou, G. Ann Oper Res (2010) 176: 191. doi:10.1007/s10479-009-0515-6

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 portfolioMean-varianceMean-VaRMean-CVaRParameter uncertaintyModel uncertainty

Copyright information

© Springer Science+Business Media, LLC 2009