Incorporating estimation errors into portfolio selection: Robust portfolio construction

Applications of second-order cone programming

Miguel Sousa Lobo, Lieven Vandenberghe, Stephen Boyd et al. · Linear Algebra and its Applications · 1998 · 2.4K citations

Natural Sciences, Computer Science, Mathematics +11

The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?

Richard O. Michaud · Financial Analysts Journal · 1989 · 1.3K citations

Business, Economics, Finance +15

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

Business, Economics, Finance +17

On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results

Michael J. Best, Robert R. Grauer · Review of Financial Studies · 1991 · 1K citations

Business, Economics, Finance +12

Robust Portfolio Selection Problems

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

Business, Finance, Financial Management +17