Robust Asset Allocation

  title={Robust Asset Allocation},
  author={Reha H. T{\"u}t{\"u}nc{\"u} and Matthias Koenig},
  journal={Annals of Operations Research},
This article addresses the problem of finding an optimal allocation of funds among different asset classes in a robust manner when the estimates of the structure of returns are unreliable. Instead of point estimates used in classical mean-variance optimization, moments of returns are described using uncertainty sets that contain all, or most, of their possible realizations. The approach presented here takes a conservative viewpoint and identifies asset mixes that have the best worst-case… 

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