Dashan Huang

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In this paper we provide a survey of recent contributions to robust portfolio strategies from operations research and finance to the theory of portfolio selection. Our survey covers results derived not only in terms of the standard mean-variance objective, but also in terms of two of the most popular risk measures, mean-VaR and mean-CVaR developed recently.(More)
Robust optimization, one of the most popular topics in the field of optimization and control since the late 1990s, deals with an optimization problem involving uncertain parameters. In this paper, we consider the relative robust conditional value-at-risk portfolio selection problem where the underlying probability distribution of portfolio return is only(More)
In this paper we consider the robust portfolio selection problem involving two types of uncertainties; the uncertainty in the distribution of exit time and the uncertainty in the distribution of portfolio return conditional on exit time. To deal with these uncertainties, we propose a tractable approach by applying worst-case VaR strategy to the case where(More)
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