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• W2489702975 abstract "This chapter shows how to evaluate the performance of portfolios and also investigate how robust portfolios perform compared to other conventional approaches. The chapter introduces common measures of portfolio return and risk, demonstrates the implementation of performance measures using MATLAB and presents historical performance of various portfolio optimization methods. It also investigates the advantage of robust portfolio optimization by analyzing historical performance and presents a measure of robustness based on robust optimization formulations. Performance measures such as holding period return, annual return, and alpha indicate how much is earned from an investment. Investigating historical performance in the global stock market from 1981 to 2013 shows that robust portfolio allows investors to control risk and uncertainty while seeking extra return. Within the U.S. stock market, robust portfolios managed to minimize fluctuation during the recent financial crisis while mean-variance portfolios resulted in volatile performance along with the market." @default.
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• W2489702975 date "2015-11-27" @default.
• W2489702975 modified "2023-10-18" @default.
• W2489702975 title "Robust Portfolio Performance" @default.
• W2489702975 doi "https://doi.org/10.1002/9781118797358.ch10" @default.
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