Robust Portfolio Optimization

Fabozzi, Frank J.; Kolm, Petter N.; Pachamanova, Dessislava A.; Focardi, Sergio M.

doi:10.3905/jpm.2007.684751

Cited by 208 publications

(201 citation statements)

References 7 publications

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“…With respect to portfolio selection, the major contributions have come in the 21st century (see, for example, Rustem et al 2000;Costa and Paiva 2002;Ben-Tal et al 2002;Goldfarb and Iyengar 2003b;El Ghaoui et al 2003;Tütüncü and Koenig 2004;Pinar and Tütüncü 2005;Lutgens and Schotman 2006;Natarajan et al 2009;Garlappi et al 2007;Pinar 2007;Calafiore 2007;Huang et al 2008;Natarajan et al 2008a;Brown and Sim 2008;Natarajan et al 2008b;Shen and Zhang 2008;Elliott and Siu 2008;Zhu and Fukushima 2008). For a complete discussion of robust portfolio management and the associated solution methods, see Fabozzi et al (2007), Föllmer et al (2008), and the references therein.…”

Section: Introductionmentioning

confidence: 99%

Robust portfolios: contributions from operations research and finance

2009

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In this paper we provide a survey of recent contributions to robust portfolio strategies from operations research and finance to the theory of portfolio selection. Our survey covers results derived not only in terms of the standard mean-variance objective, but also in terms of two of the most popular risk measures, mean-VaR and mean-CVaR developed recently. In addition, we review optimal estimation methods and Bayesian robust approaches.

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Section: Introductionmentioning

confidence: 99%

Robust portfolios: contributions from operations research and finance

2009

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“…The uncertainty sets with a specific asymmetric shape that incorporates knowledge about the skewed probability distributions of the underlying random asset returns, can improve the performance of investment decisions under Value-at-Risk type risk measures on the portfolio return (Natarajan et al (2008)). On the other hand, a symmetric uncertainty set with an ellipsoidal shape can be interpreted as variance type risk measures (Fabozzi et al 2007). …”

Section: Robust Investment Decisions Using Weather Contractsmentioning

confidence: 99%

Robust portfolio selection problem under temperature uncertainty

Gülpınar

Çanakoğlu

2017

European Journal of Operational Research

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“…This is a conservative or worst-case approach, which in many real-world applications shows favorable out-of-sample properties (see Fabozzi et al [24], or for more details on robust and convex optimization problems and its applications in finance see Lobo et al [48]). Provided a distribution of the parameters is available, the rather extreme max-min approach could be relaxed by applying convex risk measures.…”

Section: Parameter Uncertaintymentioning

confidence: 99%

Risk Control in Asset Management: Motives and Concepts

Dangl

Randl

Zechner

2015

Innovations in Quantitative Risk Management

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In traditional portfolio theory, risk management is limited to the choice of the relative weights of the riskless asset and a diversified basket of risky securities, respectively. Yet in industry, risk management represents a central aspect of asset management, with distinct responsibilities and organizational structures. We identify frictions that lead to increased importance of risk management and describe three major challenges to be met by the risk manager. First, we derive a framework to determine a portfolio position's marginal risk contribution and to decide on optimal portfolio weights of active managers. Second, we survey methods to control downside risk and unwanted risks since investors frequently have nonstandard preferences, which make them seek protection against excessive losses. Third, we point out that quantitative portfolio management usually requires the selection and parametrization of stylized models of financial markets. We, therefore, discuss risk management approaches to deal with parameter uncertainty, such as shrinkage procedures or resampling procedures, and techniques of dealing with model uncertainty via methods of Bayesian model averaging.We thank Victor DeMiguel, Matthias Scherer, Neal Stoughton, Raman Uppal, Arne Westerkamp, Rudi Zagst and an anonymous referee for helpful comments.

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Robust Portfolio Optimization

Cited by 208 publications

References 7 publications

Robust portfolios: contributions from operations research and finance

Robust portfolios: contributions from operations research and finance

Robust portfolio selection problem under temperature uncertainty

Risk Control in Asset Management: Motives and Concepts

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