Concepedia

Robust Portfolio Selection

Robust Portfolio Selection is a portfolio optimization approach that belongs to the class of methods designed to account for uncertainty in asset return distributions, distinguished by its explicit incorporation of worst-case scenarios or parameter ambiguity to ensure stable performance under model misspecification.

240

Publications

14.6K

Citations

485

Authors

293

Institutions

Publications per year

2017–2026

87

Parents

Publications

240

Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems

Erick Delage, Yinyu Ye · Operations Research · 2010 · 1.9K citations

, , +16

Robust Portfolio Selection Problems

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

, , +17

The Properties of Equally Weighted Risk Contribution Portfolios

Sébastien Maillard, Thierry Roncalli, Jérôme Teïletche · The Journal of Portfolio Management · 2010 · 731 citations

, , +16

Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management

Shushang Zhu, Masao Fukushima · Operations Research · 2009 · 521 citations

, , +17

Portfolio Selection with Robust Estimation

Victor DeMiguel, Francisco J. Nogales · Operations Research · 2009 · 314 citations

, , +17

1–5 of 240

Authors

485

  1. FJ
    Frank J. Fabozzi

    Ecole des Hautes Etudes Commerciales du Nord, France

    9 publications · 646 citations

    9

    h-index

  2. WC
    Woo Chang Kim

    Korea Advanced Institute of Science and Technology, South Korea

    6 publications · 180 citations

    6

    h-index

  3. JH
    Jang Ho Kim

    Korea Advanced Institute of Science and Technology, South Korea

    6 publications · 180 citations

    6

    h-index

  4. SZ
    Shushang Zhu

    Fudan University, China

    6 publications · 864 citations

    6

    h-index

  5. MÇ
    Mustafa Ç. Pı̆nar

    Bilkent University, Türkiye

    5 publications · 163 citations

    5

    h-index

1–5 of 485

Institutions

293

  1. Universidad Carlos III de Madrid

    Madrid, Spain

    8 h-index

    12 publications

    877 citations

  2. Chinese University of Hong Kong

    Hong Kong, Hong Kong

    8 h-index

    8 publications

    351 citations

  3. Imperial College London

    London, United Kingdom

    7 h-index

    16 publications

    932 citations

  4. Fudan University

    Shanghai, China

    7 h-index

    7 publications

    992 citations

  5. Columbia University

    New York, United States

    6 h-index

    9 publications

    2.2K citations

  6. Korea Advanced Institute of Science and Technology

    Daejeon, South Korea

    6 h-index

    10 publications

    331 citations

  7. Bilkent University

    Ankara, Türkiye

    5 h-index

    7 publications

    204 citations

  8. Nanyang Technological University

    Singapore, Singapore

    5 h-index

    7 publications

    182 citations

1–8 of 293

Venues

  1. European Journal of Operational Research

    22 publications · 1.3K citations

    19

    h-index

  2. SSRN Electronic Journal

    Repository · 15 publications · 411 citations

    12

    h-index

  3. Annals of Operations Research

    13 publications · 670 citations

    12

    h-index

  4. Expert Systems with Applications

    8 publications · 266 citations

    8

    h-index

  5. Journal of Banking & Finance

    7 publications · 593 citations

    7

    h-index

1–5