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- W4384826939 abstract "Portfolio optimization is the basic quantitative approach for finding optimal portfolio weights. It has become increasingly important as portfolio construction involves more and more data and automated approaches. The inherent uncertainty in financial markets has led to consistent demand for improved robustness of portfolio models. In this article, the authors discuss the importance of robustness in portfolio optimization and present powerful methods that include robust estimators, robust portfolio optimization, distributionally robust optimization, and scenario-based optimization. They also review data-driven methods, machine learning–based models, and practical approaches for improving portfolio robustness." @default.
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- W4384826939 date "2023-07-19" @default.
- W4384826939 modified "2023-09-28" @default.
- W4384826939 title "Robustness in Portfolio Optimization" @default.
- W4384826939 doi "https://doi.org/10.3905/jpm.2023.1.522" @default.
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