Robust equity portfolio performance

DOI10.1007/S10479-017-2739-1MaRDI QIDQ1621912zbMATH OpenOpenAlexFDO

Authors 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

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

Recommendations

• Portfolio selection with robust estimation
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Cites work

• scientific article; zbMATH DE number 5164171 (Why is no real title available?)
• 60 years of portfolio optimization: practical challenges and current trends
• Computing efficient frontiers using estimated parameters
• High dimensional covariance matrix estimation using a factor model
• Recent developments in robust portfolios with a worst-case approach
• Robust Portfolio Selection Problems
• Robust asset allocation
• Robust portfolios: contributions from operations research and finance
• Robustness

Cited in

(8)

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

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