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 …

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

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

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 selection explicitly incorporates a model of parameter uncertainty in the
problem formulation, and optimizes for the worst-case scenario. We consider robust mean …

Robust portfolios reduce the uncertainty in portfolio performance. In particular, the worst-
case optimization approach is based on the Markowitz model and form portfolios that are …

Recently, different methods have been proposed for portfolio optimization and decision
making on investment issues. This article aims to present a new method for portfolio …

Many portfolio optimization problems deal with allocation of assets which carry a relatively
high market price. Therefore, it is necessary to determine the integer value of assets when …