Robust Portfolio Selection
Published Online: 19 JUL 2013
Copyright © 2010 John Wiley & Sons, Inc. All rights reserved.
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.
- Published Online: 19 JUL 2013
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.
- portfolio allocation;
- robust parameter estimation;
- robust optimization;
- portfolio risk measures;
- uncertainty sets;
- distributional uncertainty;
- multiperiod portfolio optimization