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Robust Portfolio Selection

  1. Dessislava A. Pachamanova

Published Online: 19 JUL 2013

DOI: 10.1002/9780470400531.eorms1071

Wiley Encyclopedia of Operations Research and Management Science

Wiley Encyclopedia of Operations Research and Management Science

How to Cite

Pachamanova, D. A. 2013. Robust Portfolio Selection. Wiley Encyclopedia of Operations Research and Management Science. 1–12.

Author Information

  1. Babson College, Associate Professor of Operations Research, Wellesley, Massachusetts

Publication History

  1. Published Online: 19 JUL 2013

Abstract

Robust portfolio selection is the process of allocating assets in such a way that the resulting portfolio is less sensitive to errors in the predicted behavior of the assets in the portfolio. Tools from robust and Bayesian statistics, simulation, and stochastic and robust optimization are often used to improve the stability, theoretical properties, and computational tractability of models for portfolio selection.

Keywords:

  • portfolio allocation;
  • robust parameter estimation;
  • robust optimization;
  • portfolio risk measures;
  • uncertainty sets;
  • distributional uncertainty;
  • multiperiod portfolio optimization