Robust equity portfolio performance

DOI10.1007/S10479-017-2739-1zbMath1400.90235OpenAlexW2341763561MaRDI QIDQ1621912

Y. Aharonov

Publication date: 12 November 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-017-2739-1

zbMATH Keywords

portfolio optimizationrobust optimizationportfolio performanceU.S. equity market

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (6)

Robust mean-variance portfolio through the weighted \(L^p\) depth function ⋮ Robust portfolio optimization: a categorized bibliographic review ⋮ The effects of errors in means, variances, and correlations on the mean-variance framework ⋮ Goal-based investing based on multi-stage robust portfolio optimization ⋮ An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection ⋮ Equilibrium reinsurance-investment strategies with partial information and common shock dependence

Cites Work

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• High dimensional covariance matrix estimation using a factor model
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• Recent developments in robust portfolios with a worst-case approach
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• 60 years of portfolio optimization: practical challenges and current trends
• Robust Portfolio Selection Problems
• Robustness

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