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11

ANOR
2010

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Robust portfolios: contributions from operations research and finance

13 years 4 months ago

Robust portfolios: contributions from operations research and finance

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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 portfolio

Frank J. Fabozzi, Dashan Huang, Guofu Zhou

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ANOR 2010 | Bayesian Robust Approaches | Robust Portfolio | Robust Portfolio Strategies |

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Added	08 Dec 2010
Updated	08 Dec 2010
Type	Journal
Year	2010
Where	ANOR
Authors	Frank J. Fabozzi, Dashan Huang, Guofu Zhou

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