Robust portfolios: contributions from operations research and finance View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2010-04

AUTHORS

Frank J. Fabozzi, Dashan Huang, Guofu Zhou

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. More... »

PAGES

191-220

Journal

TITLE

Annals of Operations Research

ISSUE

1

VOLUME

176

Author Affiliations

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10479-009-0515-6

DOI

http://dx.doi.org/10.1007/s10479-009-0515-6

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1030399306


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