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 level of modeling sophistication in financial services has increased considerably over
the years. Nowadays, the complexity of financial problems and the vast amount of data …

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

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 …

Robust optimization (RO) models have attracted a lot of interest in the area of portfolio
selection. RO extends the framework of traditional portfolio optimization models …

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 …

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

The equal-risk-contribution, inverse-volatility weighted, maximum-diversification and
minimum-variance portfolio weights are all direct functions of the estimated covariance …

While portfolio optimization is generally based on the return and risk of a portfolio, goal-
based investing primarily focuses on achieving financial goals of individuals, which has …

This paper uses a novel numerical optimization technique–robust optimization–that is well
suited to solving the asset–liability management (ALM) problem for pension schemes. It …