Jang Ho Kim

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Most of previous work on robust equity portfolio optimization has focused on its formulation and performance. In contrast, in this paper we analyze the behavior of robust equity portfolios to determine whether reducing the sensitivity to input estimation errors is all robust models do and investigate any side-effects of robust formulations. Therefore, our(More)
Article history: Available online xxxx Keywords: Investment analysis Robust portfolio model Robustness analysis Fundamental factors a b s t r a c t Robust portfolios reduce the uncertainty in portfolio performance. In particular, the worst-case optimization approach is based on the Markowitz model and form portfolios that are more robust compared to(More)
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Robust portfolio optimization has been developed to resolve the high sensitivity to inputs of the Markowitz mean-variance model. Although much effort has been put into forming robust portfolios, there have not been many attempts to analyze the characteristics of portfolios formed from robust optimization. We investigate the behavior of robust portfolios by(More)
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