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 …

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

Portfolio construction is one of the most critical problems in financial markets. In this paper, a
new two-phase robust portfolio selection and optimization approach is proposed to deal with …

Conservatism is the notorious problem of the worst-case robust portfolio optimization, and
this issue has raised broad discussion in academia. To this end, we propose the hybrid …

Motivated by the asymmetrical attitudes of investors towards downside losses and upside
gains, this paper proposes a robust multi-period portfolio selection model based on …

Asset-Liability Management (ALM) of banks is defined as simultaneous planning of all bank
assets and liabilities under different conditions and its purpose is to maximize profits and …

A detailed, multi-disciplinary approach to investment analytics Portfolio Construction and
Analytics provides an up-to-date understanding of the analytic investment process for …

Robust optimization has become a widely implemented approach in investment
management for incorporating uncertainty into financial models. The first applications were …

Asset–liability management (ALM) is a challenging task faced by pension funds due to the
uncertain nature of future asset returns, employees' wages, and interest rates. To address …

The efficient management of assets to cover a firm's liabilities over a multi-period horizon is
a relevant challenge for many financial companies. Even in its deterministic version, this …