What do robust equity portfolio models really do?

DOI10.1007/S10479-012-1247-6MaRDI QIDQ2393346zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 7 August 2013

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

Full work available at URL https://doi.org/10.1007/s10479-012-1247-6

zbMATH Keywords

regression analysisrobust portfolio optimizationfama-French three-factor modelfundamental factorsrobustness of equity portfolios

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Common risk factors in the returns on stocks and bonds
• Computing efficient frontiers using estimated parameters
• Equity Portfolio Diversification*
• Robust Portfolio Selection Problems
• Robust asset allocation
• Robust portfolios: contributions from operations research and finance

Cited in

(13)

• Global minimum variance portfolios under uncertainty: a robust optimization approach
• Recent developments in robust portfolios with a worst-case approach
• Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
• Recent advancements in robust optimization for investment management
• Robust equity portfolio performance
• Robust optimization approaches for portfolio selection: a comparative analysis
• 60 years of portfolio optimization: practical challenges and current trends
• Goal-based investing based on multi-stage robust portfolio optimization
• Robust portfolio optimization: a categorized bibliographic review
• The impact of covariance misspecification in risk-based portfolios
• Robust portfolios that do not tilt factor exposure
• Robust multiobjective portfolio optimization: A minimax regret approach
• Robust portfolio control with stochastic factor dynamics

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