A practical guide to robust portfolio optimization

DOI10.1080/14697688.2020.1849780zbMATH Open1479.91369OpenAlexW3127037042MaRDI QIDQ5014226FDOQ5014226

Authors:

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1849780

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zbMATH Keywords

asset allocationrobust optimizationportfolio constructionmean-variance optimizationmulti-asset

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Cites Work

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• Portfolio construction by mitigating error amplification: the bounded-noise portfolio
• Disentangling the role of variance and covariance information in portfolio selection problems

Cited In (14)

• An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
• Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning
• Robust ranking and portfolio optimization
• Parameter-free robust optimization for the maximum-Sharpe portfolio problem
• Robust portfolios that do not tilt factor exposure
• Portfolio optimization with \(pw\)-robustness
• Robust optimization and portfolio selection: the cost of robustness
• Robust portfolio optimisation with multiple experts
• Robustness properties of mean-variance portfolios
• Regularized robust optimization: the optimal portfolio execution case
• Robust portfolio optimization with a hybrid heuristic algorithm
• Global minimum variance portfolios under uncertainty: a robust optimization approach
• Title not available (Why is that?)
• Distributionally robust end-to-end portfolio construction

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