Concepedia

Optimization Under Estimation Error

Optimization Under Estimation Error is a portfolio analytics framework that addresses the inherent uncertainty in estimated input parameters—such as expected returns, variances, and covariances—by systematically adjusting the optimization process to reduce the sensitivity of portfolio weights to estimation errors, thereby enhancing out-of-sample performance.

44

Publications

4.9K

Citations

92

Authors

72

Institutions

Publications per year

2017–2026

11

Parents

Publications

44

The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice

Vijay K. Chopra, William T. Ziemba · The Journal of Portfolio Management · 1993 · 1.2K citations

, , +17

A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

Victor DeMiguel, Lorenzo Garlappi, Francisco J. Nogales et al. · Management Science · 2009 · 1.1K citations

, , +17

Robust Portfolio Selection Problems

Donald Goldfarb, Garud Iyengar · Mathematics of Operations Research · 2003 · 928 citations

, , +17

Honey, I Shrunk the Sample Covariance Matrix

Olivier Ledoit, Michael Wolf · SSRN Electronic Journal · 2003 · 212 citations · Full text

, , +16

Incorporating estimation errors into portfolio selection: Robust portfolio construction

Sebastián Ceria, Robert A. Stubbs · Journal of Asset Management · 2006 · 185 citations

, , +16

1–5 of 44

Authors

92

  1. JB
    Jean‐Philippe Bouchaud

    Capital Fund Management (France), France

    2 publications · 30 citations

    2

    h-index

  2. ZS
    Zheng Sun

    University of California, Irvine, United States

    2 publications · 65 citations

    2

    h-index

  3. BS
    Bernd Scherer

    Ecole des Hautes Etudes Commerciales du Nord, France

    2 publications · 170 citations

    2

    h-index

  4. DG
    Donald Goldfarb

    Columbia University, United States

    2 publications · 943 citations

    2

    h-index

  5. VK
    Vijaya Kanaparthi

    Microsoft (United States), United States

    2 publications · 32 citations

    2

    h-index

1–5 of 92

Institutions

72

  1. The University of Texas at Austin

    Austin, United States

    2 h-index

    4 publications

    1.1K citations

  2. Microsoft (United States)

    Redmond, United States

    2 h-index

    2 publications

    32 citations

  3. CEA Paris-Saclay

    Gif-sur-Yvette, France

    2 h-index

    2 publications

    30 citations

  4. CEA Paris-Saclay - Etablissement de Saclay

    Saclay, France

    2 h-index

    2 publications

    30 citations

  5. Deutsche Bank (Germany)

    Frankfurt am Main, Germany

    2 h-index

    2 publications

    170 citations

  6. Commissariat à l'Énergie Atomique et aux Énergies Alternatives

    Paris, France

    2 h-index

    2 publications

    30 citations

  7. University of Toronto

    Toronto, Canada

    2 h-index

    3 publications

    187 citations

  8. University of Zurich

    Zurich, Switzerland

    2 h-index

    4 publications

    452 citations

1–8 of 72

Venues

  1. SSRN Electronic Journal

    Repository · 8 publications · 332 citations

    8

    h-index

  2. Financial Analysts Journal

    FAJ · 3 publications · 226 citations

    3

    h-index

  3. arXiv (Cornell University)

    Repository · 3 publications · 60 citations

    3

    h-index

  4. Management Science

    3 publications · 1.1K citations

    3

    h-index

  5. IEEE Transactions on Signal Processing

    2 publications · 38 citations

    2

    h-index

1–5