Robust portfolio optimization refers to finding an asset allocation strategy whose behavior
under the worst possible realizations of the uncertain inputs, eg, returns and covariances, is …

The concepts of portfolio optimization and diversification have been instrumental in the
development and understanding of financial markets and financial decision making. In light …

Robust models have a major role in portfolio optimization for resolving the sensitivity issue of
the classical mean–variance model. In this paper, we survey developments of worst-case …

An efficient frontier in the typical portfolio selection problem provides an illustrative way to
express the tradeoffs between return and risk. Following the basic ideas of modern portfolio …

This paper compares the efficacy of four multicriteria decision-making (MCDM) methods in
identifying the future best-performing stocks in two comprehensive samples of US stocks …

This paper reviews recent advances in robust portfolio selection problems and their
extensions, from both operational research and financial perspectives. A multi-dimensional …

The studies of behavioral finance show that the cognitive bias plays an important role in
investors' decision-making process. In this paper, based on the robust theory and prospect …

Our purpose in this article is to develop a robust optimization model which minimizes
portfolio variance for a finite set of covariance matrices scenarios. The proposed approach …

Robust portfolio optimization has been developed to resolve the high sensitivity to inputs of
the Markowitz mean–variance model. Although much effort has been put into forming robust …

In this paper, a new methodology for computing relative‐robust portfolios based on minimax
regret is proposed. Regret is defined as the utility loss for the investor resulting from …