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Robust portfolios: contributions from operations research and finance

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  • Frank 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. Copyright Springer Science+Business Media, LLC 2010

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  • Frank Fabozzi & Dashan Huang & Guofu Zhou, 2010. "Robust portfolios: contributions from operations research and finance," Annals of Operations Research, Springer, vol. 176(1), pages 191-220, April.
    • Handle: RePEc:spr:annopr:v:176:y:2010:i:1:p:191-220:10.1007/s10479-009-0515-6
    DOI: 10.1007/s10479-009-0515-6
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