# Robust Asset Allocation

@article{Ttnc2004RobustAA, title={Robust Asset Allocation}, author={Reha H. T{\"u}t{\"u}nc{\"u} and Matthias Koenig}, journal={Annals of Operations Research}, year={2004}, volume={132}, pages={157-187} }

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…

## 365 Citations

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- Computer Science2019 IEEE 58th Conference on Decision and Control (CDC)
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It is shown that determining the asset allocation that minimizes the distributionally robust risk can be done using quadratic programming and a one line search.

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- 2013

This paper reviews several mathematical models, and related algorithmic approaches, that have recently been proposed to address uncertainty in portfolio asset allocation, focusing on Robust Optimization methodology, and analyzes the relationship between the concepts of robustness and convex risk measures.

### Robust portfolio asset allocation and risk measures

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This paper reviews several mathematical models, and related algorithmic approaches, that have recently been proposed to address uncertainty in portfolio asset allocation, focusing on Robust Optimization methodology, and analyses the relationship between the concepts of robustness and convex risk measures.

### Investigating the effectiveness of robust portfolio optimization techniques

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Two well-known robust techniques when applied to a specific portfolio selection problem are investigated, and the portfolios selected by the respective robust counterparts are compared.

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Quantitative asset allocation models have not been widely adopted by practitioners because they suffer from two problems: the lack of robustness and diversification of portfolios obtained through…

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