Robust portfolio selection problems: a comprehensive review

被引：0
|
作者：
Alireza Ghahtarani
Ahmed Saif
Alireza Ghasemi
机构：
[1] Dalhousie University,Department of Industrial Engineering
来源：
Operational Research | 2022年 / 22卷
关键词：
Robust optimization; Portfolio selection problem; Comprehensive literature review;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper reviews recent advances in robust portfolio selection problems and their extensions, from both operational research and financial perspectives. A multi-dimensional classification of the models and methods proposed in the literature is presented, based on the types of financial problems, uncertainty sets, robust optimization approaches, and mathematical formulations. Several open questions and potential future research directions are identified.
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页码：3203 / 3264
页数：61
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