Markowitz's portfolio selection model has been the biggest step-forward in financial decision
making and has been the central point of research since its inception. The mean–variance …

Since the pioneering work of Harry Markowitz, mean–variance portfolio selection model has
been widely used in both theoretical and empirical studies, which maximizes the investment …

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

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 …

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 …

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 …

In single-period portfolio optimization settings, Mean-Variance (MV) optimization can result
in notoriously unstable asset allocations due to small changes in the underlying asset …

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

In this paper, we present a computationally tractable optimization method for a robust mean-
CVaR portfolio selection model under the condition of distribution ambiguity. We develop an …

A robust optimization model to find a stable investment portfolio is proposed under twofold
uncertainty sources: the random nature of returns for a given economic scenario which is in …