Robustness properties of mean-variance portfolios

DOI10.1080/02331930902819220zbMath1167.90618OpenAlexW2084507786MaRDI QIDQ3391894

Katrin Schöttle, Ralf Werner

Publication date: 13 August 2009

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930902819220

zbMATH Keywords

portfolio optimizationefficient frontierconfidence ellipsoid

Mathematics Subject Classification ID

Related Items (11)

Robust portfolio optimization: a categorized bibliographic review ⋮ Adjusted robust mean-value-at-risk model: less conservative robust portfolios ⋮ Best-case scenario robust portfolio: evidence from China stock market ⋮ Robust multiobjective portfolio optimization: a set order relations approach ⋮ Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances ⋮ Recent advances in robust optimization: an overview ⋮ Comparison and robustification of Bayes and Black-Litterman models ⋮ Robust multi-period and multi-objective portfolio selection ⋮ Robust multiobjective optimization \& applications in portfolio optimization ⋮ Entropy based robust portfolio ⋮ Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity

Cites Work

• Unnamed Item
• Robust portfolio optimization
• Robust asset allocation
• Robust Convex Optimization
• Robust Portfolio Selection Problems

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