Robust Portfolio Selection Problems

@article{Goldfarb2003RobustPS,
  title={Robust Portfolio Selection Problems},
  author={Donald Goldfarb and Garud N. Iyengar},
  journal={Math. Oper. Res.},
  year={2003},
  volume={28},
  pages={1-38}
}
In this paper we show how to formulate and solve robust portfolio selection problems. The objective of these robust formulations is to systematically combat the sensitivity of the optimal portfolio to statistical and modeling errors in the estimates of the relevant market parameters. We introduce "uncertainty structures" for the market parameters and show that the robust portfolio selection problems corresponding to these uncertainty structures can be reformulated as second-order cone programs… 
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839 Citations
Highly Influential Citations
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Methods Citations
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839 Citations

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