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- Title
Robust Portfolio Optimization.
- Authors
Fabozzi, Frank J.; Kolm, Petter N.; Pachamanova, Dessislava A.; Focardi, Sergio M.
- Abstract
As quantitative techniques have become commonplace in the investment industry, the mitigation of estimation and model risk in portfolio management has grown in importance. Robust optimization, which incorporates estimation error directly into the portfolio optimization process, is typically used with conventional robust statistical estimation methods. This perspective on the robust optimization approach reviews useful practical extensions and discusses potential applications for robust portfolio optimization.
- Subjects
INVESTMENT management; PORTFOLIO management (Investments); INVESTMENT analysis; FINANCIAL management; INVESTMENT policy; MATHEMATICAL optimization
- Publication
Journal of Portfolio Management, 2007, Vol 33, Issue 3, p40
- ISSN
0095-4918
- Publication type
Article
- DOI
10.3905/jpm.2007.684751