Robust portfolios: contributions from operations research and finance

نویسندگان

  • Frank J. Fabozzi
  • Dashan Huang
  • Guofu Zhou
چکیده

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.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Inquire Europe Research Proposal

After more than half a century mean variance analysis still remains the primary conceptual tool for understanding the trade-off between risk and return and for the definition of optimal investment portfolios. Despite its theoretical appeal practical applications have always experienced major difficulties. Optimal portfolio weights appear extremely sensitive to minor changes in expected returns ...

متن کامل

Optimizing Stock Portfolio of Investment Companies Operating in Field of Petrochemical and Refinery Based on Multivariate GARCH Models

The main objective of this research is to optimize the stock portfolio of investment companies operating in the field of petrochemical and refining industries through minimizing risk with respect to the expected return. In this regard, first of all, the compositions of sample firm's portfolios were investigated during 2013 to 2016 and high-weight industries were selected. Then, the risk of retu...

متن کامل

Robust ranking and portfolio optimization

The portfolio optimization problem has attracted researchers from many disciplines to resolve the issue of poor out-of-sample performance due to estimation errors in the expected returns. A popular method is to use assets' ordering information, expressed in the form of preferences over the stocks, instead of the exact expected returns for portfolio construction. Motivating from the fact that th...

متن کامل

Creating More Stable and Diversified Socially Responsible Investment Portfolios

This study is the first to apply a robust estimation technique when constructing Socially Responsible Investing (SRI) portfolios and to highlight that the selection of the optimisation process in this industry matters. We go beyond the mean-variance Markowitz framework in order to bypass issues surrounding the significant estimation risk that causes unstable, poorly diversified and suboptimal p...

متن کامل

Comparison of Portfolios Formed by Use of Grid Strategy Model Based on New and Traditional Variables Performance With Sharpe and Treynor Measures (Evidence of IRAN Exchange)

In this research, performance of portfolios formed by use of grid strategy based on new variables (aggressive, indifference and defensive stocks) presented by Rahnamaye Roodposhti (1388), and traditional ones (growth, growth-value and value stocks), calculated with Sharpe and Treynor performance measures and tested by an Active portfolio management approach to identify the portfolios by perform...

متن کامل

ذخیره در منابع من

ذخیره در منابع من قبلا به منابع من ذحیره شده

{@ msg_add @}


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:
  • Annals OR

دوره 176  شماره 

صفحات  -

تاریخ انتشار 2010