Robust portfolios: contributions from operations research and finance

被引：158
作者：
Fabozzi, Frank J. [1 ]
Huang, Dashan [2 ]
Zhou, Guofu [2 ]
机构：
[1] Yale Univ, Sch Management, New Haven, CT 06520 USA
[2] Washington Univ, Olin Sch Business, St Louis, MO 63130 USA
来源：
ANNALS OF OPERATIONS RESEARCH | 2010年 / 176卷 / 01期
关键词：
Robust portfolio; Mean-variance; Mean-VaR; Mean-CVaR; Parameter uncertainty; Model uncertainty; VALUE-AT-RISK; STOCK RETURN PREDICTABILITY; ASSET PRICING-MODELS; SELECTION; OPTIMIZATION; MANAGEMENT; UNCERTAINTY; PARAMETER; MIXTURE; CHOICE;
D O I：
10.1007/s10479-009-0515-6
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper we provide a survey of recent contributions to robust portfolio strategies from operations research and finance to the theory of portfolio selection. Our survey covers results derived not only in terms of the standard mean-variance objective, but also in terms of two of the most popular risk measures, mean-VaR and mean-CVaR developed recently. In addition, we review optimal estimation methods and Bayesian robust approaches.
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页码：191 / 220
页数：30
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